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Antoine-Bruno SARRANT

Head of Market Risk / Qualified Actuary

bruno.sarrant@gmail.com

Résumé

• Professional Consultant Actuary with a versatile technical and functional skillset, and a solid tracking record for facilitating business development in complex and evolving environment.
• Solution finder, Business oriented with an excellent interpersonal communication. Used to liaise and manage internal and external interactions in complex and dynamic environment.
• Thorough, structured and lateral thinker, ready for new challenges for helping ambitious and innovative businesses to achieve its objectives on track.

Expériences professionnelles

Alm expert & project manager

Dexia Bank , London

De Juillet 2018 à Mars 2019

Responsible for reorganizing, restructuring and depleting a Bad Book Portfolio (~€130Bn)

Major Projects and Achievements

• Organizing and Managing all internal asset transfers
• Designing and Organizing new Hedging Strategies for implementing a global compression schema
• Internal Governance Management and transfer process documentation
• Review of documentation for external stakeholders

Key Results

• €5Bn of reorganized assets
• Participation into a new ALM Hedging schema integration
• Design of a global derivative compression schema (scope: ~€250Bn of derivatives)

Senior consultant manager

NATIXIS CIB , Paris

De Janvier 2018 à Juin 2018

In charge of Designing & Implementing a Digital Organization for Model Risk Management.

Key Project Design Items

• Tracking all Contextual information regarding Models Reviews
• Providing a Time-trackable environment for all review documentation (notes, assessments ...) and Technical assessments (code, frameworks and internal library),
• Being Able to answer to all ECB TRIM level 4 information request in 1 day (contextual information & whole model review documentation with accurate governance time stamp)
• Integrating an automatic reporting production chain
• Having a versatile technical environment able to support several development languages, data science frameworks (ML, DL) and data environments (files, RDMBS, Hadoop)
• Being Able to integrate legacy model review materials

Key Results

• Functional Audit of current MRM internal processes through a Gap Analysis approach
• Developing a MVP based on Atlassian products (Jira, Confluence & Bitbucket)
• Write-up of functional & technical specification for an audit native digital environment

Senior actuary consultant

SCOR , Paris la defense cedex

De Janvier 2017 à Septembre 2017

Project Manager on new “in-house” risk accumulation solution on “Natural Catastrophe” Reinsurance activities (a.k.a. ARC)

Major Projects and Achievements

• Managed a team of 7 people on functional and technical topics (specification write-ups & reviews, implementation follow-ups, test & qualification plan designs…)
• Leader on data science related topics & distribution calculation plan design
• Implemented qualification framework and SCOR specific Tableau solution

Key Results

• Delivered an enhanced solution for managing €3.8Bn of GWP (28% of SCOR Group) and their related risks

Head of market risk

BARCLAYS

De Octobre 2009 à Février 2018

Responsible for

• Market Risk management of the several business units and subsidiaries (€10 bln of balance sheet size, €60 m of profit before tax and €7 bln of assets under management (AUM)). These responsibilities concern the management of market risk exposures (pocket rooms of €15 m allocated to IR, FX and Investment Risks), designing new risk solutions, managing with Group interlocutors (Risk, Treasury, Capital Management …),
• The position reports to the Chief Risk Officer,
• Transversal management responsibilities for the following functions: new product development, investment process organization (FO, cross business projects, regulatory rules …), risk policies and Frameworks implementation (France and Europe), risky situations remediation (market crisis, mispricing, defaults …),
• Attend to New Products Approval Committee, ALCO, Life Insurance Committee and Risk and Control Committee.

Project Work and Achievements

Reviewed, controlled and improved all business risk frameworks, Established new Group Market Risk policies and rules. Managed the structuration of a mispriced mortgages portfolio (€1 bln) in terms of hedging, income and IFRS impacts. Participation into the building of a framework dedicated to structured product investments by establishing a risk framework and controls on deal agreements. Manage successfully two important crisis period in 2010 and 2011 by remediating risky situations with respectively €20 m and €15 m at stake. Managed with Group Risk the adaptation of Investment Risk Policy for our French Life Insurance subsidiary to be Solvency 2 compliant (€2 bln AUM).

Alm manager

CFF

De Juin 2006 à Septembre 2009

Responsible for

• Asset Liability Management for CFF and “Compagnie de Financement Foncier”. These responsibilities concern the improvement and maintenance of IT Systems, the report production (Gaps identification and analysis, reports dedicated to Rating Agencies and Annual Reports), the Hedging Management for both entities (IR and FX, near €15 bln of swaps by year) and Budget forecasts.
• The position reports to the ALM Director,
• Transversal Management responsibilities for the following functions: Strategic and Budget Planning, New Product Development (Life Mortgages), Balance Sheet Management and Special Operations
• Attend to New Products Approval Committee, Treasury Committee and ALCO.

Project Work and Achievements

Reviewed and Improved the ALM production process (Time consumption from 90h to 7h, financial items calculated individually), Automation of ALM Report Process (Production and Gaps Analysis), Refining of Risk Exposures Analysis and Improvement of ALM P&L (near €10 m), Improvement of Budget Forecasts. Help Treasury to manage successfully the Lehman Brother bankruptcy period by producing short-term liquidity forecasts (daily updates). Manage successfully the financial restructuring of a mortgages portfolio (€18 bln of balance, potential actualized losses between €0.5 bln and €1.0 bln). Participate to the development of life mortgages (IR And Liquidity Hedgings).

Deputy treasurer

LOCINDUS SA

De Janvier 2004 à Juin 2006

Responsible for

• Presales and implementation of financial lease operations, treasury management (cash and funds), bonds issuances, ALM and reports production (IFRS GAAPs, Rating Agencies, General Assemblies).
• The position reports to the Head of Treasury,
• Attend to ALCO (in charge of ALM and economic outlook).

Project Work and Achievements

Participate to the IT System migration. Improvement of treasury processes (automation and calculation). Help to migrate successfully from French GAAPS to IFRS GAAPS.

Consultant

XL CONSULTING

De Mars 2003 à Décembre 2003

XL Consulting is an IT services provider dedicated to Business Intelligence Solutions based on Cognos Products (IBM)
• Customers: Société Générale, Europe Assistance, Peugeot
• Technologies: Cognos BI, J2EE solutions and RDBMS (Oracle, DB2)

Consultant

IMPROVE SA

De Décembre 2000 à Mars 2003

Improve SA is an IT services provider dedicated to J2EE Solutions based on IBM Products (Premier Partnership)
• Customers: Michelin, Thalès, IBM, Eurocontrol and DDB Piment
• Technologies:J2EE, Websphere, zOS.

Formations complémentaires

Master of Science (MSc)

Université Paris Dauphine - Actuarial Sciences & Risk Management

2008 à 2010

Prom Representative

In partnership with the CEA (Centre d'Etudes Actuarielles)

Actuary Dissertation:
- Subject: "Selling Structured Products, From Pricing to Risk Management"
- Defence presented and got with Honors on 1/24/2012

Master of Science (MSc)

Université Pierre et Marie Curie (Paris VI) - Applied Mathematics

1998 à 1999



Dissertation: "Selection of Regression Variables with help of Genetic Algorithms"

institut des actuaires

0000 à Aujourd'hui



Parcours officiels

Dauphine – DU – Mathématiques de la Modélisation et de la Décision - Mathématiques Appliquées – 2013 – DU Sciences actuarielles & gestion des risques

Langues

Français - Langue maternelle

Anglais - Courant

Allemand - Notions

Compétences

Data Science
Actuaries
Reinsurance
Digital transformation
Audit
Regulatory Compliance, Risk Management
ALM
Restructuring

Centres d'intérêt

  • Pencak Silat
  • Strategy Games
  • Entrepreneurship