Oumayma ibaz

Oumayma ibaz

Quantitative Analyst
France
English, Arabic, French
Full-time Hybrid

نبذة عني

Quantitative Analyst specialized in model validation of Fixed Income and FX products within the FIC perimeter. Experienced in assessing pricing models, analyzing payoff structures and evaluating the valuation consistency…

الخبرة

Quantitative Analyst (Market Risk - Model Validation, FIC)

Société Générale · Ablis , Ile-de-France , France
Jun 2024 - حتى الآن · 2 سنوات 4 أشهر

<p>Perform independent validation of pricing models across the Fixed Income and FX perimeter, including callable notes on CMS/CMS spreads, Total Return Swaps (TRS) with various structural features, FX performance-linked options and options on FX baskets.</p><p> Validate valuation adjustment methodologies, including Market Price Uncertainty (MPU), Close-out Costs (CoC) and Concentrated Positions (CP), across risk factors such as bond repo and hybrid correlations.</p><p> Review and challenge pricing methodologies, model assumptions and risk profiles, assessing conceptual soundness, valuation consistency and model limitations, while working closely with Front Office and Risk teams to investigate pricing discrepancies and formulate validation conclusions.</p>

Quantitative Intern (Fixed Income)

Natixis · Ableiges , Ile-de-France , France
Apr 2023 - Oct 2023 · 5 أشهر

<p>Priced CMS products, including CMS swaps and CMS caps/floors, based on the methodology presented in Hagan's "Convexity Conundrums".</p><p> Implemented the replication-based pricing approach and benchmarked the resulting valuations against Natixis Front Office prices.</p><p> Priced CMS spread options using the binormal model.</p>

المهارات

Fixed Income FX products Model Validation Market Risk valuation adjustments C++ MATLAB Python
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