*Conversion factor (CCF)
Ratio between the unused portion of a commitment that will be drawn and at risk at the time of default, and the unused portion of the commitment calculated on the basis of the authorised limit or, where applicable, the unauthorised limit if higher.
Nesrine Bouzidi: "The risk department can be an excellent door into a CIB"
Tell us about your career up until now
In 2008, I joined the Risk Department as an intern in the Credit Ratings and Methods service as part of my last year of a Master’s degree in Economic and Financial Engineering at the University of Paris Dauphine. This team is in charge of implementing the Basel 2 regulation internally, using the Bank’s capital estimate models for the credit risk part.
At the end of my studies, I continued on a fixed-term contract, performing two key roles: the control and follow-up of the Bank’s counterparty ratings in the framework of the Quality Committee for Basel 2 figures; and the backtesting of internal models to ensure their continued validity and to demonstrate their robustness to the regulator.
I was recruited on a permanent work contract in 2011 after these two years of experience.
What are your principal roles today ?
I work on the operational side in the “ex-ante RAROC” team in charge of estimating the return on a requested credit transaction. Thanks to the RAROC indicator (Risk Adjusted Return On Capital - regulated measurement instrument), we look at the real return on a transaction adjusted for the risk associated with it. This is a business intelligence tool for the Front Office.
We also provide training (around 50 sessions per year) to each business line to increase their awareness of risk. We assist them with the use of RAROC calculation tools and provide an intranet site dedicated to Basel 2 issues.
My team is also the Basel 2 adviser for the whole Bank: we coordinate, centralise and distribute all information on this subject.
Lastly, we are in charge of estimating a Basel 2 parameter used in the calculation of capital: exposure at the moment of default. This model seeks to estimate the Bank’s exposure to a client one year before the latter defaults.
What do you enjoy in your position ?
My experiences have allowed me to gain a solid foundation of knowledge and to strengthen my grounding in the technical aspects. My current roles give me a clear vision of the Bank, since I can monitor the transactions of each business line and entity on a daily basis. My position is cross-functional thanks to the diversity of the subjects and people I deal with.
"My current roles give me a clear vision of the Bank's operations"
Why did you choose to stay at Crédit Agricole CIB ?
Above all, I work in a friendly team. The Bank has fulfilled my expectations, with stimulating roles and subjects linked to today’s very dense regulatory environment. I have therefore learnt a lot, while feeling that I have also made a contribution to the team. This mutual recognition has been key.
"The risk activity is not set in stone. It opens the door to all activities of a Corporate and Investment Bank"
*Conversion factor (CCF)