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Mathieu Garcia

@mathieugarcia

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Quantitative Risk Manager with expertise in market risk and modeling.

United Kingdom

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What I'm looking for

I am seeking a challenging role in quantitative risk management that offers opportunities for growth and innovation.

I am a dedicated Quantitative Risk Manager with over a decade of experience in financial risk management and quantitative analysis. My career has been marked by a strong focus on developing and implementing risk metrics, including Value at Risk (VaR) and Expected Shortfall (ES), which have significantly enhanced the risk management frameworks of the organizations I've worked with.

At EDFT London, I led a team of quants in advancing the Monte Carlo measure for market risk, successfully increasing the coverage of risk metrics and improving the data treatment in PFE code. My previous role at Entris Banking involved leading financial risk for ALCO reporting, where I designed stress scenarios for financial planning. My experience at PostFinance AG further solidified my expertise in risk measurement and alternative asset management, where I implemented a Monte Carlo scenario generator and automated market risk measurement systems.

Experience

Work history, roles, and key accomplishments

Quantitative Risk Manager

EDFT London

May 2023 - Mar 2025 (1 year 10 months)

Managed a team of 3 quants, developing and enhancing Monte Carlo ES measures for Market Risk. Increased risk metric coverage by incorporating gamma of structured products and vanilla options into VaR/ES models.

PFE Optimization

Head of Financial Risk/Quantitative Research

Entris Banking

Jul 2022 - Apr 2023 (9 months)

Led the financial risk team for ALCO reporting, covering Market, Interest Rate, and Credit Risk. Designed stress scenarios for financial planning, focusing on interest rate and credit risk.

Risk ALCO Reporting Interest Rate Risk Credit Risk Financial Planning

Senior Market Risk Manager

Post Finance AG

Dec 2012 - Apr 2022 (9 years 4 months)

Implemented and monitored market risk measurement processes, including a Monte Carlo scenario generator for various risk factors. Developed an automated system for market risk measurement using VaR and Expected Shortfall.

C SQL Server Investment Analysis Regulatory Compliance

Portfoliomanagement

Union Investment

Jul 2011 - Aug 2012 (1 year 1 month)

Developed a quantitative FX trading strategy and a risk measurement tool for multi-asset strategies. Monitored and reported on the performance of multi-asset portfolios.

performance reporting Portfolio Management

Portfoliomanagement

Bankhaus Metzler

Sep 2010 - Jul 2011 (10 months)

Developed a risk and performance measurement tool for multi-asset quantitative strategies. Conducted performance monitoring and reporting for multi-asset portfolios.

Performance Monitoring Quantitative Analysis

ALM Risk Control

Dresdner Bank AG

Apr 2008 - Oct 2008 (6 months)

Developed and implemented a new option valuation algorithm for Bermuda Swaptions using C++ and Monte Carlo Simulations. Implemented a new calculation method for option sensitivities using Malliavin Calculus.

C Malliavin Calculus Algorithm Development

Education

Degrees, certifications, and relevant coursework

Université Marne La Vallée – École Nationale des Ponts et Chaussées

Master in Financial Mathematics, Financial Mathematics

Completed a Master's degree focusing on financial mathematics. The program was a joint degree between Université Marne La Vallée and École Nationale des Ponts et Chaussées.

TU Darmstadt

Diplom in Mathematik, Mathematics

Obtained a Diplom in Mathematics from TU Darmstadt. This program provided a strong foundation in advanced mathematical concepts.

Université Bordeaux I

Bachelor in Mathematics, Mathematics

Completed a Bachelor's degree in Mathematics at Université Bordeaux I. The curriculum covered fundamental mathematical principles and problem-solving techniques.