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E-mail
firstName.lastName(at)rivageinvestment.com -
Office phone
+33 1 70 91 25 90 -
Office address
5 rue Drouot, 75009 Paris (France) -
44 years old
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French citizen
Delegate CEO - Partner,
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Paris, France
- FOCUS: Infrastructure and public sector fund management, sustainable investments
- quantitative analysis, IT development (front/back-office)
About
- Co-founder and delegate CEO of Rivage Investment.
- Sustainable investments in infrastructure and public sector private debt.
- Investment banking (credit derivative structuring, London).
- Quantitative and IT expertise, from back to front office.
Financial skills
- ESG and CSR sustainability
- quantitative methodologies in Fixed Income
- private debt fund management, risk-management
- relative value, quantitative indicators, systematic trading
- credit structured products, exotic structuring
- rating agency methodologies
- financial engineering
Work Experience
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Rivage Investment - Paris
15 years- Delegate CEO & partnerOctober 2010 - Today -
BNP Paribas - London
5 years- Credit derivative structurerJune 2005 - June 2010 -
Dexia BIL - Luxemburg
3 months- R&D intern (stuctured products)July 2004 - September 2004 -
ABC Arbitrage - Paris
1 year- R&D intern (statistical arbitrage)June 2003 - June 2004
Education
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M.Sc. Financial mathematics - 2005
Jussieu Paris VII - probabilities, statistics, modelling -
M.Sc. Civil engineering - 2005
Ecole des Mines de Nancy
Languages
French (native)
English (fluent)
German (intermediate)
Chaozhou (潮州 - native)
English (fluent)
German (intermediate)
Chaozhou (潮州 - native)
June 2005 to June 2010
Credit derivative structurer
Thierry joined BNP Paribas - Corporate and Investment Banking, as a credit derivative structurer in 2005. His mandate consisted of designing, marketing and
reporting on client investments for a wide range of structured credits: credit-linked notes, static and managed CSOs and algorithmic strategies.
Systematic-trading based credit strategies
Such strategies consisted of structuring/wrapping in-house credit indices.
- Credit indices: design and industrialization of proprietary, rule-based, transparent, and fully automatic credit indices. 3 series of credit indices have been launched: a) a long only, b) a short only and c) a long-short trend-following index. The latter index returned a solid performance (Sharpe Ratio above 2.0) during the first years of its existence
- Structuring/Offer: full flexibility was offered to investors on a) formats (note, swap, fund, certificate), b) pay-offs (leverage, delta-one, option), c) strategy (long, short, long-short or self-managed), d) underlying (single CDS index, multiple CDS index)
Managed Credit Synthetic Obligations (CSOs)
Managed CSOs are credit structured products backed by a portfolio of synthetic (not cash) underlyings and actively managed by a third-party asset manager.
- Managed CPPIs pricing, rating, stress-test scenarios, marketing of several series of managed credit Constant Proportion Portfolio Insurances.
- Managed CPDOs pricing, rating, stress-test scenarios, marketing of several series of managed credit Constant Proportion Debt Obligations.
- Managed CDOs pricing, rating, stress-test scenarios, marketing of several series of managed credit Collateralized Debt Obligations.
Exotic product structuring
- Secured funding transations: structuring of SPV-issued notes with high-level of rating achieved through over-collateralization, without the needs of any securitisation techniques.
- CFXO: structuring of a Collateralised Foreign Exchange Obligation, i.e. applying the securitization techniques to a portfolio of out-of-the-money digital FX options to offer rated Notes to investors.
- CCO: structuring of a Collateralised Commodity Obligation, i.e. applying the securitization techniques to a portfolio of out-of-the-money digital commodity options to offer rated notes to investors.
- Regulatory capital transactions: tranching and rating techniques applied to distressed portfolios, supplemented by highly rated securities (i.e. govies) and excess-spread cashflow trappings.
- Leveraged Super Seniors: structuring of leveraged Super Senior tranches of CDOs.
- Other credit structured products: hedged bond certificates, credit-linked notes, leveraged ABS funds, CLOs, etc...