Abderrahim Abdellaoui is a Freelance Consultant Business Analyst specializing in Market Finance and Trading Solutions. With a strong background in financial mathematics and quantitative finance, he has successfully designed and implemented financial models, conducted risk analysis, and led upgrade projects to enhance operational efficiency.
• Designed and implemented Bond Total Return Swaps (TRS) and evaluated Multiple Bond Forward models to meet client requirements. • Conducted PL and sensitivities reconciliation, improving reporting accuracy and resolving discrepancies. • Facilitated workshops with traders and risk managers to align system configurations with business objectives. • Documented workflows for pricing, risk, and trade lifecycle processes to enhance operational efficiency. • Led upgrade projects within Securities Finance, delivering improved functionalities and optimized workflows. • Provided expert support for simulation and trade queries, addressing complex use cases and aligning processes with client needs.
• Built a comprehensive framework for Alpha Review of Funds, including benchmark comparisons, Return Contribution analysis, Risk Proportion assessment, and Factor Decomposition analysis. • Developed a robust Risk Analysis framework to identify and manage potential risks in investment portfolios. • Developed an FX-Forward pricer, leveraging forward curves and spot rates to price forwards across various currency pairs.
• Created a jump modeling to predict movements in the bond market based on the nature of jumps following the publication of economic figures. • Utilized classification techniques and applied the insights to develop a range trading strategy.
• Realization of a Synthetic ETF Composed of stocks that track the price of Bitcoin or any other set of Cryptocurrencies. / Using NLP techniques to measure market sentiment and creating a thematic cryptocurrency index.
