Florian Puech

• Calculated the counterparty risk on various types of financial products:
- Interest Rate products: FRA, Swap, Swaption, Cap and Floor
- Forex products: Forward, Option, Spot, Swap, Cross Currency Swap and NDF
- Commodities products: Swap, Forward, Cap and Floor
- Credit products: CDS and CDO
- Equity products: Swap, Option, Forward, Dividend Swap, Variance Swap
- Repo
• Implemented a historical database updated automatically in Access, centralizing all risk anomalies reports, and enabling search by criteria.
• Executed reports on the various types of risk anomalies

• Developed internal rating methodologies of financial institutions in compliance with the Basel II requirements
• Drafted documentation for regulator’s inspection validated by the Bank
Management Committee
• Organized meetings with credit analysts
• Replicated banks rating tool with Excel (VBA) to carry out impact tests and verify the correct implementation into the system

• Set up and automated a new procedure to revaluate underlying assets, hedging instruments and cash (Cash Flow Hedge)
• Elaborated Hedging strategies against the exchange risk