Leadership Role - Risk Production - Captive

- Production and analysis of risk reports on Lyxor funds including different strategies:

- ETF and Index Funds,

- Hedge Funds / Managed Accounts (Long short equity, Global macro, CTA, Event driven, etc),

- Fund of Hedge Funds,

- Quantitative Funds (Multi Asset, Formula Funds, CPPI).

- Calculation/control of risk indicators:

- Market & Credit exposures (leverage, counterparty, CDS),

- Liquidity (weighted average liquidity, ATV, market capitalization, liquidity stress tests),

- Concentration (sector, country),

- Value at risk (historical),

- Stress test (based on adverse and hypo/historical methodologies),

- Regulatory and contractual investment restrictions (embargo controls, etc).

- Improvement and development of internal tools at the instruments and/or portfolio level.

- Software configuration (Sophis, Sungard adaptive,etc) and improvement and development of internal tools at the instruments and/or portfolio level (VBA macro developments) in order to monitor risk more efficiently and quicker.

- Write-up of policies and procedures related to the improvement of risk tools.

- Reports- production including but not limited to statistics about production and risk consumption.