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Julien MESSIAS

Julien Messias

julienmessias@gmail.com

Résumé

Julien has been mainly working in the Investment Banking field. After a first experience as an Equity Derivatives Trader at BNP Paribas in 2006, he joined ING Financial Markets where he began to work as an Interest Rate Exotic Derivatives Trader and from 2008 to end of 2012 as an Equity & Index Derivatives Trader.

Julien holds degrees from Université Paris-Dauphine and Essec, and is a Fellow of the French Actuary Institute.
He had a first experience in this field at PartnerRe as a Life Pricing ReInsurance Actuary in 2013.

As a lecturer, he teaches Derivatives Products and Risk Management at Paris-Dauphine and Solvay School of Economics.

He is a member of the Risk Management Commission of AFG.

Spécialisations : Financial Markets
Derivatives
Volatility Arbitrage
Sector Indices
Risk Parity
Asset Allocation
Actuarial Sciences
Long Term Care

Expériences professionnelles

Founder and portfolio manager

QUANTOLOGY CM , Paris-16e-arrondissement - CDI

De Juillet 2013 à Aujourd'hui

● Risk Manager: Set up Stress Tests and Sensitivity Measures
● Portfolio Manager. Focus on "Smart Beta"​: Risk Parity, Equal Risk Contribution, Maximum Diversification Portfolio. Developed a "Smart Earnings" approach.
● Responsible for Financial Modelling and Calibration. Responsible for Portfolio Insurance methods
● Write In-Depth Quantitative Analysis. Thematic Indices Design

www.uncia-am.com

Lecturer specialized masters in quantitative finance / financial markets

SOLVAY BRUSSELS SCHOOL OF ECONOMICS AND MANAGEMENT (SBS-EM) - ULB

De Juillet 2013 à Aujourd'hui

● Derivatives Products and Risk Management : Options Strategies, Stochastic Calculus Initiation

Life reinsurance pricing actuary

PARTNER RE , Paris

De Janvier 2013 à Juillet 2013

● Life Insurance Pricing
● Development of tailor-made insurance contracts
● Experience analysis on insurance portfolios
● Improvement of existing pricing tools
● Focus on Long Term Care

Lecturer master’s degree applied economics

Université Paris-Dauphine

De Octobre 2012 à Aujourd'hui

● Derivatives Products and Risk Management : Options Strategies, Stochastic Calculus Initiation

Single stocks and sector indices equity derivatives trader (utilities, energy, financial sectors)

ING

De Septembre 2008 à Septembre 2012

● Responsible for the books with P&L objective and VaR, stress test restrictions
● Set up and responsible for Sector Indices Derivatives trading activity
● Improved trading/sales communication: pricing runs, trade ideas and axes, newsletters, market focus, visits to clients
● Flow products pricing and trading
● Pricing and Management of Corporate deals
● Market making leading position in the IDB: liquid and illiquid Single Stocks and Sector Indices
● Set up pricing, analytical and hedging tools for the desk. Financial modelling and calibration

Formations complémentaires

Master's degree

Institut des Actuaires - Conservatoire National des Arts et Métiers / CNAM - Actuarial Sciences

2012 à 2017

Life Insurance, Non Life Insurance, ReInsurance, ALM, Modelling Tools, Risk Management, Econometrics, Initiation to R and SAS, Extreme Value Theory, Copulas
Thesis: "CAT Life Reinsurance Modelling"

Specialized Postgraduate Degree in Financial Techniques

ESSEC - ESSEC Business School - Financial Mathematics - CFA Accredited Program

2007 à 2008


Financial Mathematics, Statistics, Econometrics, Options and Derivatives, Volatility Models, Monte-Carlo

Research Master’s Degree «DEA 104 Finance» Financial Engineering, some courses at ENSAE (statistics)

Université Paris Dauphine - Financial Mathematics - CFA Accredited Program

2007 à 2008

Dissertation: « What is the best way to compute ex-post volatility? High-frequency measures properties »

Credit Derivatives, Risk Management, Commodities, Stochastic Calculus, Computer Sciences

MSc Financial Markets

University of Strathclyde

2006 à 2007

Parcours officiels

Dauphine – Master 2 – Finance – 2008 – MASTER 2 Recherche Finance-Gestion

Langues

Français - Langue maternelle

Anglais - Courant

Espagnol - Technique

Compétences

Financial Markets
Derivatives
Actuaries
Trading
Risk Management

Centres d'intérêt

  • Interested in International
  • political and geostrategic current events: member of IFRI (French Institute for International Strategy) Swimming
  • Water-polo (8 years practising at regional level)
  • Squash and Jogging (regular practising on 10km)