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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)
Finance-oriented machine-learning
- Classical statistics: non-supervised (clustering, dimension reduction) and supervised (classification, regression) methodologies
- Reinforcement learning: Q-learning, genetic algorithms
- Ensemble algorithms: boosting, bagging, stacking
- Deep learning: multi-layer perceptrons
Finance-oriented IT
- Finance analytics: interest-rate curve bootstrapping, credit spread bootstrapping, yield calculation, interest-rate, duration calculation (Macaulay/Modified), credit duration calculation, Z-spread calculation, PECS calculation, SRRI volatility calculation, generic portfolio cashflow builder, etc...
- Value-at-Risk: design and industrialization of a generic (historical) VaR model. Work in progress: simulated VaR.
- ISDA: integration of the ISDA Standard Model to our systems for credit default swap pricing
Database for asset management
- Database-oriented systems: design and deployment of an SQL Server 2008 to gather, structure and redeliver financial data to the systems
- Function/Procedure scripting: request pre-calculations in Transact-SQL
Advanced computing
- Financial tools: XLL library, Excel-object-oriented functions,
- R&D: operational research, metaheuritics (simulated annealing, generic algorithms, ad-hoc algorithms,...), linear programming, simplex algorithm, Newton-Raphson root finder, etc...
Hardware and network
- IT infrastructure: in-house design and deployment of the IT infrastructure (firewall, switch, intranet, PABX, power supply, network cabling, etc...)
- Windows server: management of virtual machines hosted by Windows Hyper-V (file server, exchange, active directory, etc...)
Languages
- Algorithmics: GO, C++, Visual Basic, Delphi, Java, Caml, Pascal, Basic
- Database: SQL Server, Transact-SQL, SQL
- Web: web services, React, Javascript, HTML 5, CSS 3, PHP, MySql
- Software: Excel, Bloomberg, R, SAS, Scilab, Reech, Premia, Matlab, Mathematica
- Marketing: Powerpoint, Photoshop, Gimp, Illustrator, Inkscape, Premiere