Véronique GU

Experience

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  Dassault Systèmes

  May 2010 - Oct 2010

  Stage d'ingénieur

  R&DProject: « Intelligent pattern recognition for meshing in 3D simulation of vehicle crash. » Achievements: 1. Testing actual recognition algorithm for all available vehicle models in SIMULIA/CATIA. 2. Improvement and development the algorithm via C++. 3. Testing new algorithm. Analysis of meshing results.4. Recognition rate was increased and the new algorithm was official included as a new module in SIMULIA.Keywords: C++, CATIA, SIMULIA, Simulation, Data Analysis, Meshing, Optimization. Show less

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  Université du Havre

  Jan 2011 - Oct 2015

  PhD thesis (applied mathematics)

  Project: « Modeling and optimization of an eco-industrial park integrated CCS-Carbon Capture and Storage technology » Achievements:- Study and resume of current researches about Industrial Ecology. New Optimization Models have been proposed. - Testing of Models and analysis/ comparison of different algorithms. Keywords: Modeling, Optimization, Operational Research, Programming, Simulation, CCS, CCU.

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  HSBC Global Banking and Markets

  Sept 2016 - Sept 2017

  Structured Equity Derivatives Product Control (GVG Global Valuations Group)

  Daily Production: - Preparation, generation and analysis of global FVA Monthly Reports. Weekly updates of Database. - Support of preparation and generation of Monthly Totem Contributions.Personal Project/Development: « Strategies for deciding quanto correlation of OTC exotic instruments when lack of market data »Achievements during personal project:- Proposition of a new methodology via Hierarchical Clustering for Quanto Correlation FVA Reserve. - Development of a tool for data collection, analysis and back testing of this new methodology. - Back testing of actual methodology. Comparison/analysis between new methodology/process and actual methodology/process. Keywords: Reserve, FVA, PVA, IPV, Model and Parameter Control, Market data, VBA, R, Access, Sophis, Totem. Show less

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  Societe Generale Corporate and Investment Banking - SGCIB

  Oct 2017 - Dec 2018

  Pricing/Development Commando for Fixed Income Trading Desk at Société Gérérale (SGCIB)

  Daily Production: - Preparation and check real time pricing solutions, grid of servers and market data feeds before Market Open. - Support all trading activities of SGCIB EMTN Paris and HK desks, to work with Pricing/R&D/Risk teams. - Monitoring real time pricing solutions, and to fix related pricing issues during Market Open period.- Assist EUR ST and EURUSD ST Paris desks.Daily Development: - Improve real time pricing solutions. Improve Grid Performance. Test new Packages of pricing solutions, and to release after Market Close. Keywords: EMTN, Fixed Income, Iron, X-One, Excel, VBA, XML, C#,, Support, Development, Agile. Show less

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  HSBC Global Banking and Markets

  Jan 2019 - May 2022

  Projects:- Basel IV/FRTB SA (BCBS version and CRR2 version) onboarding. FRTB SA risk measure validations. Regulatory capital analysis. FRTB SA Scope for HSBC Equity desks: SBM (GIRR, FX, Equity, and CSR non-securitisation), DRC non-securitisation and RRAO. - HSBC Risk internal projects: Equity Brexit HBFR, EONIA-to-ESTER, SOFR, and etc.Production and Process: - Market risk processes: daily MRA production, weekly VaR Roll, quarterly Prod Like for VaR and SVaR, quarterly MaxSVaR processes, Stress Testing.- Market risk analysis: greek and VaR analysis when risk limits breach, PnL analysis, review FDSF process, HMS trading book hierarchy, market risk factor mappings.Keywords: Basel IV, FRTB, Sensi, PnL, VaR, SVaR, RWA, Market Risk, Sophis. Show less

  • Market Risk Equity

    Apr 2019 - May 2022

  • Business Analyst Traded Risk (Market Risk)

    Jan 2019 - Mar 2019
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  Bank of America Merrill Lynch

  Nov 2022 - now

  Market Risk Manager