**, *** *** ********. ***** sur Seine, France.
(Mobile) + 33 6 41091977 / +33 9 77198211
Born September 8, 1980. Moroccan and French citizenships. CAREER Quantitative Trader – Quantitative Analyst
LCH SA – London Clearing House - Exhange Risks Paris – France March / Nov 2018 Senior Quantitative Analyst - Consultant
Liquidity and Concentration Risk Model for equity derivatives: assessment of the current model and design and implementation of the new model.
Arrow Investment – Start-up Hedge Fund Riyadh – Saudi Arabia 2016 / Nov 2017 Quantitative Investments Strategist
Oversaw the implementation of the trading and investment infrastructure from scratch: o Built a security master database based on Reuters data. o Oversaw connectivity to brokers and data providers
Built a client-server execution framework in order to build an in-house liquidity pool and algorithmic execution capabilities.
Researched and backtested equity trading strategies on Saudi market: o fundamental based low frequency strategies
o Statistical arbitrage mid to high frequency
Non-technical skills used: Project management, Built business specifications according to shareholders input, definition of a business plan, Budgetting and task scheduling, led the relationship with the brokers and suppliers.
Freelance Consultant Remote - Morocco
2014 / May 2016 Projects in financial markets Research & Quantitative Trading
Developed trading products to introduce equity business for a client (Big Moroccan investment Bank): o Developped a index replication strategy in order to launch first etfs in Morocco o Developped structured products based on moroccan equity indices
Consulted on strategic orientation for the equity business for same client.
Implemented different strategies backtests and C# trading clients for US prop trading firms (on S&P500/ Futures):
o Pairs trading strategies on US stocks.
o PCA-based futures strategies
Non-technical skills used: Project management, Built specifications according to client needs, defined an implementation schedule, led brainstorming meetings with different departments. Cortex Analytics SAS Paris- France
2010 / Dec 2013 Co-founder: Statistical R&D and Trading Start Up
Developed and tested Statistical Arbitrage strategies in FX, Futures and Equities in different time frequencies
o Market-Making and microstructure based strategies o Pair-trading Strategies
o PCA based basket Trading Strategies
o Mean reverting Basket trading
Designed and implemented a full strategy automation and backtesting software suite. o Backtesting Framework, cloud solution
o Execution algorithms, FIX connectors, Low Latency management Non-technical skills used: Project management, Team management, Business planning, Definition of Clients projects specifications, ...
SG Corporate & Investment Banking Paris- France
2005 / Feb 2009 Global Program Trading – Global Equity and Derivative Solutions – Quantitative Trading and Quantitative Research
Quant Trader in the prop/risk basket trading desk (universe: DJ Stoxx TMI Index).
Pricing/hedging of European baskets for clients worldwide.
Involved in the performance of quantitative strategies with pair trading based on risk arbitrage and markov chain’s trading automaton with significant track record.
Implement ation of a Market Impact Model based on market microstructure (article publised in Euromoney).
Participate in the various papers produced by the SG Quant Research Team.
Developed the ESSM (European Style Switching Model), a layer to the WISE product(Factor Based Equity Model).
Developed the Switch Model : an innovative quantitative risk based pair trading model. Pair-trading ideas used by clients and SG (CAR and DAI) Sales.
Participate in the development of the WISE platform (Databases and Backtesting tools). The result of this is the SG Index platform.
Non-technical skills used: Project management, organized educational meetings, Presented some of the products to the big funds in Europe, worked with the sales managers on the marketing strategy to clients. 2
2004 / 2005 DEAI Derivatives Department - Structured Products Team
Implementation of a systematic co-integrated statistical strategy that switches from value to growth investment style and back.
Creation and pricing of structured products based on: CPPI and OBPI strategies, ALM optimization and variance swaps.
Development of a mutual funds database aimed to serve as a fundamental fund-selector in order to improve fund allocations.
Implementation of a fund return-based style analyser that explains the fund’s alpha by different style indices.
Non-technical skills used: Definition of the clients business needs, pitched new business ideas to DEAI’s management.
2004 European Equity Strategy Team
Development of an asset allocator following the Black-Litterman Model: portfolio optimisation model including various asset classes such as commodities and/or equities, based on the mean-variance Markowitz theory, but includes the investor’s views on the asset classes’ expected returns in a way to avoid extreme portfolios. The covariance matrix involved in the portfolio optimisation is estimated thanks to GARCH Processes.
Participated in the team production: SG DASHBOARD, SG SNAPSHOT Non-technical skills used: Project management, Pitched technical models to business people. EDUCATION M.S. Masters Degree in Financial Techniques and M.Sc. Financial Applied Maths Engineering 2003 / 2004 ESSEC Business School Paris - France
M.S. Financial Techniques: Masters Degree in Finance (Postgraduate): Financial Engineering / Corporate Finance. 1998 / 2003 INSA (National Institute of Applied Sciences) Rouen - Fance Master of Engineering in Applied Mathematics (specialised in Finance).
Statistics and Probability
“Thesis: Interest Models in Interest Rates Derivatives” 1997 / 1998 Lycee LYAUTEY (French High School) Casablanca - Morocco International Baccalaureate in Science (specialised in Mathematics – graduated with Honours). PROGRAMMING SKILLS
Programming in F#, C#, C, C++, FORTRAN, PERL, MSSQL and MYSQL.
User of Data Analysis: R, Matlab, SAS and Python / Financial Analysis Equipment: Bloomberg, Reuters . LANGUAGES
English Fluently spoken and written. TOEIC 965.
Spanish Fluently spoken. Written.
Arabic Mother tongue.
INTERESTS AND ACTIVITIES
Interest: Music ( DJ for 3 years to finance my studies).
Sports: Football (4 years within the team school), Futsal (corporate league),Tennis, Surf.