photo de profil d'un membre

Moustafa Stéphane Bou Zeid

31 ans - PARIS (75017) France - 06 66 13 48 08

Situation professionnelle

A l'écoute du marché

Souhait professionnel

Poste
trader
Experience
De 2 à 5 ans
Rémuneration
Entre 75 k€ et 100 k€
Type de contrat
CDI
Mobilité
Indifférent - Indifférent
Fonctions
- Ingénieur d'études et de recherche
Secteurs
- Banque / Finance / Assurance

Expériences professionnelles

Fixed income quantitative analyst

HSBC FRANCE , Paris - CDI

De Février 2014 à Aujourd'hui

- Developing an XVA computation tool for Rates Products: The tool analyses the valuation of products exploring the effect of collateral, funding and counterparty credit risk. The tool also explores the case of multi-currency credit support annexes (CSAs) and the impact on pricing. It identifies the Cheapest-To-Deliver collateral in order to enable the best funding benefits and highest rate of return.

- Building a static hedge strategy for Bermudan Callable swaps using amortizing European options. The replication portfolio delta-hedges the Bermudan swaption at each Call date. The replication swaptions can be fully payers, fully receivers or any combination between them. This last portfolio is useful for a vega-hedge strategy.

- Improving accuracy of existing pricing models

Exotic rates trading

HSBC FRANCE , Paris - Stage

De Juillet 2012 à Décembre 2013

- SABR density approximation: The aim of this study is to solve negative density / arbitrage issues that are well known with the asymptotic formula of the implied log-normal volatility. The SABR density approximation consists of fitting the first four moments with Pearson IV and Johnson densities in order to price mid curves and spread options using different Gaussian and t-Student copulas. The analysis also proposes a Super and Sub Hedges for any mid curve.

- Local Beta SABR model: The diffusion of this model consists of a standard SABR model with a local Beta function (parametric Beta). This model proposes a closed-form option pricing formula. The comparison with the usual SABR model reveals a correction of the negative density at low strikes for long maturities and high nu.

- Co-initial Swap Market Model: Studying and Implementing in VBA a co-initial SMM that allows pricing any generic European-style interest rate derivatives that is a combination of Forward Swap rates.

Front office it commando – structured rates products

HSBC FRANCE , Paris - Stage

De Octobre 2011 à Mars 2012

- Monitoring the Live Contribution of EMTNs (Euro Medium Term Notes) to Bloomberg and Reuters.
- Running the Trading books scenarios and Greeks computation for Interest Rate Derivatives Desk.
- Developing several tools for OIS (Overnight Indexed Swap) discounting project and Market Data contribution.

Parcours officiels

Ecole Centrale Paris – Ingénieur – Mathématiques Appliquées – 2012

Langues

Arabe - Langue maternelle

Français - Langue maternelle

Anglais - Courant

Compétences

développement C/C++
Pack Office (Excel, VBA, Powerpoint, Outlook)
XML
R
SQL
Management
Fixed Income
Strategy
trading
produits derives
Analyse
Project Management
international project management
Maîtrise du pack office

Centres d'intérêt

  • Swimming
  • Basketball
  • Betting games
  • Forex Trading (CFD).