Mauritius
Quants Team, Financial Accounting and Advisory Services (FAAS) – Derivatives Valuation & Credit Risk Modelling - Valued options, FX forwards, FX swaps, and other vanilla derivatives using Black–Scholes and Binomial models. - Delivered IFRS 9 and regulatory credit risk modelling support to banks and investment firms across Sub-Saharan Africa, developing and validating PD, LGD, EAD, and ECL models in Python and R. - Built challenger models and assessed portfolio performance under stress and macroeconomic scenarios. Validated corporate credit ratings using financial statement analysis and quantitative scorecards.
Responsible for leading tutorial classes, assisting first year students with module content and problem sheets, marking assignments and providing feedback. - ST120 Introduction to Probability - ST119 Probability 2