Omar El Hajjaji

Interest Rate & FX Modeling Study of various IR models for exposures valuation: -Empirical models (Principal Component Analysis - Black Karasinski model) -Affine Multifactor Term Structure Models (Ait-Sahalia, Singleton) Study of various IR models for CVA calculation: -LIBOR Market Model BGM, Two-Additive Factor Gaussian Model G2++, Hull-White Model -Extended CIR Model CIR++,Hybrid (market/historical) empirical model FX-IR hybrids modeling Implementation (Matlab) of prototype for diffusion and calibration Back-Testing (in/out of sample) and validation of models Pricing of Interest Rate derivatives and Exposures valuation (PFE, EE) Equity Modeling Study of the multifactor Fama-French Model (Publications by Fama, French, MacBeth, Cochrane) Set an algorithm using the “s best subsets” method to select the best indexes for projection Validation of the projection model (study of the residual) Implementation (Matlab) of prototype for diffusion and calibration Pricing of exotic products (Multi-asset barrier options, Lookback options, Asian options) Dependence Modeling Study of dependence between risk market axes (IR, FX, Commodities...) and default times using a Copula approach Testing the adequacy of copula models in characterizing the true cross-dependence structures by formal statistical tests Set an algorithm through constraint optimization (Method of Lagrange Multipliers) which estimates positive definite correlation matrix despite missing data Implementation of prototype for diffusion and calibration Credit Value Adjustment (CVA) and Wrong Way Risk (WWR) Study of various CVA/WWR models Implementation (Matlab) of prototype for diffusion and calibration of a CIR process used to model credit spreads, correlated to market risk factors in order to account for WWR Developing a CVA model and framework integrating the wrong way risk dependency between market risk factors and default times