| Questioning of a bank’s CDO valuation model; demonstration of its non-validity. Design of the risk management framework of major project financing products (PPP/PFI) with focus on issues such as hedging, Day-One Profit or hidden derivatives embedded in loan covenants. Study and improvement of a bank’s historical VaR methodology by writing down the underlying theoretical foundations of the historical simulation method (Central Limit, Glivenko-Cantelli, Donsker’s Theorems) and analyzing its limitations; proposition of a measure of accuracy of VaR calculation based on convergence speed; academic studies on alternative approaches such as GARCH VaR and EVT VaR (Extreme Value Theory). Study of IFRS texts, design of original solutions for implementing IFRS, then management of a bank’s IFRS project for the valuation part, covering all types of instruments in the bank’s balance sheet. Management of a bank's project of implementation of a new activity of FX margin trading over the internet in Hong-Kong; coordination with several entities worldwide; preparation of the validation file to be submitted to the Hong-Kong Monetary Authority. |
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