Frank Sansarricq

Quantitative expert with managerial and consulting experience and more than 15 years of hand-on experience in the banking industry, derivatives pricing models and market risk models. Have worked closely with traders, treasurers/ALM professionals, quantitative professionals and bank regulators. Strong quantitative skills. Strong attention to details and model theoretical rigor. Excellent writing skills.Expert knowledge of the theory of derivatives pricing, term structure modeling and market risk and counterparty credit risk models (VaR, EC, PFE). Strong knowledge of the dual discounting curve (LIBOR/OIS) framework and the theory of Valuation Adjustments (XVAs). Expert knowledge of martingale pricing and stochastic calculus. Hand-on expertise in the implementation and calibration of interest rate models for the pricing of exotic interest rate derivatives. Hands-on experience in the validation of pricing models for equity, foreign exchange, interest rate and commodity derivatives. Hands-on knowledge of numerical techniques (Monte Carlo simulation, simulation with leaped quasi-random sequences, simulation-on-the-lattice, adaptive mesh technique, lattices, finite differences methods, forward induction via state prices, variance reduction techniques, Principal Components Analysis).