Sanae Ahajji
Quantitative Risk Analyst
Senior Risk model auditor
Société Générale - Paris
2011
to 2013
- Validation of credit risk models under Basel framework (PD, LGD and IRC)
- Supervision of teams up to 3 members:
- Elaborate the pre-diagnostic, the planning and coordinate the team,
- Present the final findings to stakeholders.
- Coach junior auditors on acquiring best audit practices.
- Elaborate the pre-diagnostic, the planning and coordinate the team,
- Development of standardized audit protocols used for both first validation and periodic backtesting.
Risk model auditor
Société Générale - Paris
2008
to 2011
- Validation of internal credit risk models used for RWA calculation (PD, LGD) for Retail, Corporate and Financial Institutions:
- Assess compliance with regulatory requirements and internal guidelines;
- Issue reports and make recommendations. - Review of non-regulatory models: granting score models and PD portfolio analysis.
- Validation project of Incremental Risk Charge models (IRC):
- Review of migration-default simulation models;
- Assess sensitivity-based pricing models.
- Review of migration-default simulation models;
Consultant
EY - Paris
2007
to 2008
- Audit of financial statements, focused on employee benefits (IAS19, IFRS2)
- Advisory services : identify and measure extreme statistical risks in gambling games.
Actuarial analyst Non life insurance - Intership
Axa France - Paris
2006
to 2007
- Development of a monitoring non-life insurance portfolio tool.
