Fall

Quantitative Analyst @Finalyse

Ville de Paris, FR

Support for major French banks on IRB modelling projectsCCF Modelling – Retail & SME portfolios– Participated in the construction of the Reference Dataset (RDS); defined the data dictionary and implemented data quality checks (DQC) with full documentation– Segmented portfolios and identified the CCF instability region– Designed and calibrated the model in accordance with regulatory expectations– Performed statistical tests: homogeneity, heterogeneity, and concentration analysis– Estimated key parameters: MOCs, downturn adjustments, LRA, extrapolations, etc.LGD/PD Model Remediation – SME– Reviewed and remediated the LGD RDS to align with ECB standards– Contributed to formal responses to ECB findings– Conducted exploratory analysis on an alternative PD modelling approach– Estimated the capital impact (RWA) of proposed model adjustments– Assessed RWA implications related to the COVID-19 crisis and the implementation of the New Definition of Default (NDOD)• Internal research on integrating climate risk into credit risk management and prudential frameworks