Paris, Île-de-France, France
- Transformation of the investment strategy - Led the selection and back office software migration - Defined and deployed an ESG strategy across investment activities - Provided financial training to board members - Report to the board every quarters and secured board approval for each key decisions. Improved long-term returns, liquidity and coverage ratio via progressive asset reallocation (include secondary market sell of PE funds) and refined portfolio construction across Private (PE, PD and infrastructure funds)) and public markets funds.
Select and oversight private and listed funds for the insurance company : - Invest more than 100 millions per year in Private Equity (Direct and Secondary), Private Debt and Infrastructure funds) and oversight more than 40 funds, LPAC Member. - Select and oversight listed market vehicules (Fixed Income, Equity, Emerging and alternative strategies) - In charge of Private Equity Impact dedicated funds monitoring with active role regarding portfolio company selection. Coordinate investment committee (ALCO). Define asset allocation under regulatory constraints with ALM department. Participate on RFP for large corporate retirement plan and manage the relation between one major corporate client (1bn€ AUM), Aviva France and asset managers. Manage interns to improve monitoring and reporting tools on Excel/VBA/Python. Oversight financial/1LoD risk reporting production and regulatory reporting (SFCR, RSR).
Oversaw institutional client coverage, ensuring high-quality service delivery through structured onboarding, SLA management, reporting design, and cross-team coordination, RFP, RFQ, private and listed market
- Develop Performance measurement and Evaluation tools (VBA) for multi asset LDI Mandates. - Use and develop differents models to evaluate each mandates sleeves : Brinson Model (allocation, selection & interaction effects) for equity. Fixed Income attribution models for fixed income sleeves and develop cross asset attribution models for Structured Product performance evaluation. - Test Benchmark quality (systematic bias, tracking error, Risks, coverage) for existing mandates, develop more efficient benchmark and make change suggestion to client in meetings with them. - Compute risk adjusted performance metrics (M², Sharpe, Tracking Error, Information ratios, Duration to spread) - Fixed Income performance analysis (carry, rollsown and Interest rate management effect : (duration, convexity, Yield curve), Sector, bond selection, transaction costs). - Design and develop Derivatives and Structured product monitoring solutions for Clients. - Automatize Powerpoint presentation for LDI portfolio managers, client reportings. - Develop revenue and prospective revenue tools to optimize the forecast and help to manage the bonus rates for Life Insurance mandates. - Work on solvency project (SCR calculation, Lookthrough reporting).
Credit Agricole Private Bank Help to manage Private Wealth Client Mandates and Fixed Income Mutual Funds through : Portfolio Creation and Optimization projects (VBA) : - Create a tool that help to profile private clients (risk tolerance, required return and constraints) to formalize IPS and Strategic Asset Allocation. - Create a tool that optimize the yield of buy and hold fixed income buckets and portfolios using Client and Investment Procedure Constraints. - Use Monte Carlo approach for retirement planning and to calculate the distribution of potentials returns. (Taxable and non taxable buckets, potential withdrawals, economic scenarios...) to help to advise and construct portfolios. - Evaluate benefits and concerns of CPPI, constant allocation and buy and hold strategies. - Construction of Mean Variance Optimization and Black Litterman asset allocation model with estimation of covariance matrix (shrinkage method) to optimize multi asset Private Client Portfolios. Study and propose new investments tactical strategies and portfolio monitoring tools : - Funds selection and monitoring. - Analyse and implement tactical investment opportunities in the market (volatility and liquidity arbitrage). - Development of quantitative analysis tools with Excel/Bloomberg to follow portfolios at a daily frequence. Making Client and Management feedback and presentations: - Client marketing and reporting presentation automatisation (Excel/Powerpoint and VBA) - Redaction of daily bond market news and reporting commentaries. - Attend issuers and funds roadshows and provide feedbacks to portfolio managers team.
- Investigating new alternative datasets. - Developing and implementing systematic trend following and mean reversion equity investment strategies. - Developing new systematic event-based investment strategies. - Quantitative research into data-driven predictive models for global stocks. - Strategy backtesting and trading strategies assesment. - Explaining research results and new investment strategies to the senior management and board members. - Use R, Excel-VBA and C# for computer developments and backtests.