Clément GERVAISE Permanent residence right in EU and Japan

cgervaisejob@gmail.com +81 (0)80 5853 7470

Professional experience
Model validation analyst (Director – 次長)
November 2015 – currently: Daiwa Securities (Tokyo) Model Validation Department

Model/product validation:
 Implementation in the C++ independent pricing library (pricing, Libor fallback) and development of testing tools in
Excel VBA.
 In charge of full validation projects:
o Design of the testing strategy and discussion with the model developers and owners,
o Verification of Front Office documentation, modelling assumptions and mathematical formulae,
o Ad-hoc and automated tests: independent calculation (model validation pricing library, Excel or vendor
systems), degenerated cases, stress tests, stability of price and risks, challenge of the modelling: impact
of approximations and assumptions, comparison with different models / products.
o Reporting of issues to Front Office: follow-up of remediation and testing of bug fixes,
o Documentation: redaction of exhaustive notes (100+ pages) on mathematical theory, product features,
testing methodology, analysis of results, issues found and Front Office’s remediation, conclusions.
 Scope:
o Pricing, XVA, cash flows reporting, average life
o Products (mainly exotic derivatives):
 FX (multi-callable PRDC, Quanto gaptions)
 Rates (range accrual swap, CMS-spread swap, multi-callable JGB/CB repack, JGB yield-linked
swap)
 Equity (variance swap, path-dependent forward, multi-asset quanto autocallable)
 Credit (CDS, CLN)
 Hybrid products (Convertible Bonds, credit-FX-IR hybrids)
o Models:
 Validation for Libor reform: Libor fallback, post-Libor yield curves and RFR volatility surfaces,
 Validation of shifted SABR, 3 FX random local volatility model.

System maintenance:
 Migration of tools from Windows XP to Windows Server 2012 (Redmine, Subversion, Teamcity)
 Migration of C++ library from Visual Studio 2008 to Visual Studio 2019

Model Risk Management:

 Carried out the first model inventory in the company.
 Monitoring of regulation on model validation and model risk management and review of the internal model risk
management policy.
 Regression tests of the Front Office pricing library releases.

IT environment: Murex, Daiwa’s internal pricing library, Model Validation pricing library, Opscore (Ito33), VBA, Bloomberg,
Subversion, Redmine, SVN, Teamcity, JIRA.

Market risk manager (Director – 上席課長代理)

June 2009 – September 2015: Daiwa Securities Group (Tokyo) - Risk Management Department

Quantitative analysis:
 Calculation, analysis of P&L and risks of exotic derivatives and reconciliation with Front Office. Implementation of
stress testing with ad-hoc scenarios.
 Calculation of full-revaluation stress-test and VaR of exotic derivatives as opposed to the daily greeks-based
calculation. Worked with London IT to implement a new inhouse simulation tool based on the Front Office pricing
library and created a tool to convert scenarios from the risk system to the new simulation tool. Monthly
calculation, comparison with the greeks-based method and analysis of the residual risk. Addressed model
limitations with the Front Office quants: requested the validation of an improvement to allow negative rates and
prevent negative asset prices. Reporting to senior management.
 Study of impacts of model migrations or improvements and new products.

Global market risk management:

 Monitoring of risk-taking in Japan and in overseas offices; creation of a daily global report sent to overseas
offices; management of the derivatives risk management framework based on greeks, VaR, market liquidity and
stress test results: control of limits and annual reviews with the Front Office.
 Reporting to the risk committee: regular and ad-hoc stress tests, improvements in the risk management
framework and analysis of risks.
 Consolidated VaR calculation: data verification and data cleaning,

Project management:
 Transition from existing Front systems to Murex.
  Implementation of a global (Tokyo and overseas offices) stress-testing program in the company: scheduling,
discussion with overseas offices about scenarios, creation of stress-test scenarios, implementation of scenarios in
the risk system, aggregation of results from overseas offices, regular reporting to senior management, review of
scenarios in times of market crisis.
 Implementation of a new type of limit control based on potential stress tests for 4 different departments trading
exotic products. Planning, organisation of meetings and once in production, monthly aggregation and reporting to
senior management.
 Migration of the regulatory VaR model of the New-York MBS portfolio.
 Cleaning of the static database for the consolidated VaR.
 Review of new FRTB rules and sample calculation of RWA.

IT environment: Murex, Daiwa’s internal pricing library, Riskwatch (IBM), VBA, SQL, Perl, Bloomberg.

Market Risk Officer

2007-2009: Dexia Credit Local Tokyo
Market Risk Management (market risk, liquidity risk and ALM risk)

 Implementation of the risk management framework.

 Design and implementation of P&L, liquidity and ALM reports. Daily monitoring of risk indicators and reviews with
the Front Office. Reported daily to the liquidity crisis work group from September 2008.
 In charge of new product approval.
 Project management for risk system improvements.

IT environment: Tools: Murex, Access, Excel, Excel/VBA, SQL, Bloomberg.

Murex consultant
2006-2007: Aneo (in Paris until June 2006 then Tokyo) - Murex greenfield project
Development in Murex system of automated data reports for Front Office, Risk Management and Back Office.

C developer
2005-2006: Murex (Paris)
C implementation (OOP) in the Mx software for client requests and bug fixes.

2004-2005: Altran Technologies (Paris): Market intelligence for internal and external clients.
2001-2004: Internships and part-time jobs: mobile application development in J2ME, system administration in a high
school, implementation of image processing algorithm in C, design of a database for a French bank, development of a
measurement tool of physical sensor in Matlab.

Education
 2000-2003: ENSTA Paris (école d’ingénieur in A group): Msc in Computer Sciences & Information
Processing.
 2003-2004: Ecole de Guerre Economique: Master’s degree in strategy of competitive intelligence.
 2010: FRM (Financial Risk Manager) certification by GARP (Global Association of Risk Professionals).

Certificates
 2022: AI training (Japanese course on Aidemy)
 2019: Mental Health First Aider (MHFA England)
 2017: Machine learning and deep learning (Coursera)
 2014: Quantitative Modelling of Interest Rate Models (Sigma Investment School, Tokyo)
 2009: CFA level 1
 2007: Japanese Language test (JLPT) level 1

Language skills
French: Native / English and Japanese: advanced / German, Spanish, Italian: Beginner

Extra-professional activities
Personal IT projects: 3D simulation engine (C), Bomberman game (Delphi), arcade games on Texas Instruments
calculator (Motorola assembly), Google PageRank improvement tool (Java).
Programming experience: C, C++, Python, Perl, Java, Pascal, Delphi, OpenGL, PHP, SQL, Assembler, Maple, Matlab.

Social activities: Meditation, Table tennis, fussball.

Leisure activities: Trail running, open water swim, Go, Scrabble, piano, reading.