Xavier Lorentz

FAQ About Xavier Lorentz

• What is Xavier Lorentz's address?

  Xavier Lorentz is located at
  Brussels Region, Brussels Region, Belgium

• What is Xavier Lorentz's job title?

  Xavier Lorentz is a
  Within the RISK Independent Review and Control department, I am currently in charge of: - the supervision of the junior quantitative analysts' review work - representing the team for large projects of the bank - coaching and managing the VIEs - performing in-depth independent reviews The key subjects in which I have been involved in the last years were mainly focusing on the counterparty credit risk models, more specifically for credit and equity asset classes and some cross-assets topics (back-testing or variation and initial margin collateral models). I had also the opportunity to work on market risk, prudent valuation and insurance risk topics. Finally, I am part of an internal talent program since 2017.Part of the RISK Independent Review team, the main missions I work on are: - Regulatory topics: performing the review of the solutions developed to answer regulatory requirement (mainly CRDIV/CRR) on the equity and credit perimeter regarding counterparty risk (for example, CDO and equity American option pricers). - Periodic review: Assessment of the methodology (model, calibration…) of the equity spot risk factor. - Cross-sectional subject: Selection of stressed period for the EEPE and VaR on CVA. - Programming: To support the analyses, some code needs to be developed in the team internal tools (C++ or C#).-Modelisation de la demande residuelle en electricite (Analyse spectrale, Processus Ornstein-Uhlenbeck et auto-regressif, bootstrap). -Estimation d'une fonction transformant la demande residuelle en prix. -Analyse de donnees et conception d'un modele d'interconnexion France-Allemagne. -Tests statistiques effectues dans le but de choisir le modele le plus adapte aux donnees. -Collaboration avec l'Institut Fraunhofer en Allemagne. BNP Paribas

• What industry does Xavier Lorentz currently work in?

  Xavier Lorentz currently works in the
  BNP Paribas

• What is Xavier Lorentz's area of expertise?

  Xavier Lorentz specializes in
  Within the RISK Independent Review and Control department, I am currently in charge of: - the supervision of the junior quantitative analysts' review work - representing the team for large projects of the bank - coaching and managing the VIEs - performing in-depth independent reviews The key subjects in which I have been involved in the last years were mainly focusing on the counterparty credit risk models, more specifically for credit and equity asset classes and some cross-assets topics (back-testing or variation and initial margin collateral models). I had also the opportunity to work on market risk, prudent valuation and insurance risk topics. Finally, I am part of an internal talent program since 2017.Part of the RISK Independent Review team, the main missions I work on are: - Regulatory topics: performing the review of the solutions developed to answer regulatory requirement (mainly CRDIV/CRR) on the equity and credit perimeter regarding counterparty risk (for example, CDO and equity American option pricers). - Periodic review: Assessment of the methodology (model, calibration…) of the equity spot risk factor. - Cross-sectional subject: Selection of stressed period for the EEPE and VaR on CVA. - Programming: To support the analyses, some code needs to be developed in the team internal tools (C++ or C#).-Modelisation de la demande residuelle en electricite (Analyse spectrale, Processus Ornstein-Uhlenbeck et auto-regressif, bootstrap). -Estimation d'une fonction transformant la demande residuelle en prix. -Analyse de donnees et conception d'un modele d'interconnexion France-Allemagne. -Tests statistiques effectues dans le but de choisir le modele le plus adapte aux donnees. -Collaboration avec l'Institut Fraunhofer en Allemagne.

• Which languages does Xavier Lorentz speak? 

  Xavier Lorentz speaks the following languages:
  No languages available.

• Which industries has Xavier Lorentz previously worked in?   

  Xavier Lorentz has prior experience in the following industries:
  BNP Paribas , BNP Paribas , EDF R&D

• What is Xavier Lorentz’s work experience?  

  Xavier Lorentz has the following professional experience:
  BNP Paribas , BNP Paribas , EDF R&D .

• How can I find Xavier Lorentz on LinkedIn?  

  You can view Xavier Lorentz’s
  LinkedIn profile at LinkedIn URL.

• What are Xavier Lorentz’s work email addresses?  

  Xavier Lorentz’s work email addresses are
  [email protected].

• What company does Xavier Lorentz work for?  

  Xavier Lorentz works at
  BNP Paribas