Oumayma ibaz

<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>

<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>