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Paul Leblanc, CFA

Paul Leblanc, CFA

Summer Job

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location of Paul Leblanc, CFABertrange, Luxembourg, Luxembourg

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  • Timeline

  • About me

    Quantitative officer at European Investment Bank (EIB)

  • Education

    • Lycée Arago

      2003 - 2006

    • Université de Montréal / University of Montreal

      2010 - 2011
      Master of Science (M.Sc.) Mathematical and computational finance

      Within my double diploma cursus, I completed my Master of Science in two semesters instead of three originally planned. This implies a greater workload during this time (4 courses per semester). Followed courses :- Machine learning.- Stochastic simulation.- Option pricing.- Time series analysis.- Financial economics.- Financial market econometrics.- Investement choices.- Stochastic calculus.

    • Ecole internationale des Sciences du Traitement de l'Information

      2007 - 2011
      Financial engineering diploma Mathematical finance

      During my studies, I initially followed general engineering courses. I then chose to specialize in Mathematics, and more specifically in financial engineering. I, among others, studied: Mathematics :- Monte carlo simulation.- Model calibration.- PDE.- Stochastique process (discrete & finite).- Jump process.- Portfolio management.- Financial risks.- Statistics.Informatique :VBA, JAVA, SCILAB

    • Université de Cergy-Pontoise

      2009 - 2009
      Bachelor's degree Bachelor's degree in Mathematics & Bachelor's degree in Informatic

  • Experience

    • BNP Paribas

      Jul 2007 - Jul 2009
      Summer Job

      During 3 years, I worked at BNP Paribas insurance as summer job.

    • Lyxor Asset Management

      Jun 2011 - Aug 2011
      Internship - Quantitative Management

      - Study of various options' payoff and their valuation methods.- Simulation of Monte-Carlo and finite difference using VBA (pricing).- Greek simulation and Delta/Vega hedging.

    • Belfius - (former Dexia Bank Belgium)

      Jul 2011 - Jun 2012
      V.I.E - DataManagement Analyst & Client Pricing

      DataManagment analyst on IR products :- Study and development of SABR model (stochastic Alpha Beta Rho) for swaptions and caplets.- Study and development of correlations on Cross Rates & Quanto products.- Control & update of volatility for IR products (swaptions ,caplets, inflation).Client Pricing :- Study of pricing models (Black Scholes, SABR, Heston)- Development of internal tools and monitoring of market data.- interaction with Front Office, counterparties and collateral. Show less

    • Dexia Credit Local

      Aug 2012 - Aug 2015
      Market Risk Analyst - Interest rates data

      Develop, improve and maintain tools to determine semi and illiquid complex market data used by financial market :· Methodological analysis of market data definition and calculation.· Developing and implementing needed models.· Developing control tools to avoid market data errors.· Establishing relationship with external data providers (Reuters, Bloomberg, Brokers….).· Answer the validation’s recommendations. Participate in the project of recovery “Market Data” activity to DCL :· Improvement of pricing library (Java).· Parameterization of data hub software (SmartCo).· Support to valorization team and to structuring desk in order to create new structures.Market data framework :· Volatility: Caplet/Floorlet, Swaptions, Inflations indexes.· Correlation: Quanto, Cross Rates and CMS.· Rates: Inflations, Libor (study and improvement of the « Multiple discount curves » methodology), CBS…. Show less

    • Banque de France

      Sept 2015 - Oct 2017
      ABS valuation

    • European Investment Bank (EIB)

      Nov 2017 - now

      Portfolio modeling

      • Quantitative officer

        Aug 2020 - now

      • Loan pricing officer / Financial Enginnering

        Nov 2017 - Aug 2020

  • Licenses & Certifications

    • Chartered Financial Analyst (CFA)

      CFA Institute
      Sept 2019