Cyrille Henry-Bonniot, CFA

Senior analyst in the Asset Allocation department within the FRR. The main responsibilities are: - Strategic allocation: construction of the recommanded allocation from constrained portfolio optimizations based on macro-economic scenarios and time series of the asset classes. - Asset classes returns modeling : work on rates, spreads and equities representation in order to simulate indices' returns. (project I have been working on: evolution of the spread diffusion model, improvement of the jump processes used for the defaults, test of different correlation structures, development of a econometric model for equities.) - Research on new techniques for portfolio optimization. (for instance, introduction of a bayesian framework in the allocation process to assess the uncertainty in the economic scenarios we use).

Analyst in the quantitative team within the Portfolio Management department. Quantitative support for the various hedging programs: CDS investments, Securitization program. Responsible of studies optimizing the capital allocation of the bank.

In charge of the risk analysis of the commodities derivative portefolios. The main responsabilities involves : - the follow-up of the trader strategies: analysis of the market sensitivities, management of the desk’s “Greeks” levels and VaR or discussions with all stakeholders on new activity projects. - Independent review of deals meeting size or complexity criteria. (over 100 deals reviewed) Thorough study of the main aspects such as the structure, risks, funding, hedging strategy, liquidity, profitability, reserves. - Weekly note on the commodities market trends, identification of the moves’ main drivers. - Calibration, implementation and monitoring of stress tests on market parameters (Forward curves, volatilities, rates...) aimed to simulate specific events (Middle East crisis, US dollar collapse...) - Value at Risk and PnL: explanation of the moves, identification of the loss scenarios.

In charge of analyzing and presenting the bank’s main market and counterparty risks in the US Responsible of in-depth analysis on various subjects: insurance counterparties exposure, mortgage prepayment risk, prime brokerage stress tests.

Built machine learning models based on financial ratios to predict the default probability of middle-sized companies and assess their associated regulatory capital.

Worked on the bank’s health insurance. Studies of the optimal health coverage (under several scenarios) considering the costs, the demographic profile and the use patterns.