Yacine Mbengue Gassama
Risk Model Analyst, in Charge of Icaap and Strategic Risk Monitoring @BMW Group
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WORK HISTORY
Risk Model Analyst, in Charge of Icaap and Strategic Risk Monitoring @BMW Group
For BMW Financial Services France (BMW Finance SNC)- Production of the monthly risk report for the risk committee. IN CHARGE OF THE LOCAL ICAAP- Update of a stress scenario simulating the Ukrainian crisis.Application on the capital planning- Update of the local risk cartography - inventory (cartographie des risques)- Monthly monitoring of the risk bearing capacity estimated with value at risk models (Credit Value at Risk, Residual Value at Risk.)- Supervision on the yearly risk bearing capacity validation and limit updates- Perform quaterly stress tests - Perform quarterly capital planning- Yearly update of the recovery plan (plan préventif de redressement); CREDIT RISK MODELS VALIDATION- Yearly backtesting and update of the standard credit risk cost (coût du risque de crédit)- Yearly backtesting of the scorecards for company and private customers- Update of the IFRS9 and IAS39 risk parameters (PD and LGD); STRATEGIC RISK MANAGEMENT - Update of the internal control report for ACPR- Update of the risk appetite framework and the guidelines with respect to regulatory requirements, BMW Finance and BMW Group standards- Monitoring of the services outsourced to BMW Bank.
EDUCATION
Université de Rennes I
M2 Ingénierie économique et financière option banque finance, Banque, finance, Statistiques, économétrie
ABOUT YACINE MBENGUE GASSAMA
Senior Strategic risk analyst, in charge of ICAAP and and credit risk models at BMW Group
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