@sbastiensagan
Market risk specialist at Universal Investment who automated daily risk processes and built a Python model-validation pipeline.
PolandAt Universal Investment, I run daily production risk processes, including VaR, backtesting and stress testing. I’ve replaced manual and spreadsheet steps with ETL processes and validate the risk, valuation and instrument data behind the results.
I also built and run a Python and SQL model-validation pipeline that applies statistical controls and supports reproducible testing. Previously, I traded futures at OSTC and reviewed NAV and derivative accounting at State Street.
Work history, roles, and key accomplishments
Universal Investment
Feb 2022 - Present (4 years 8 months)
Runs daily production risk measures including VaR, backtesting, and stress testing, and re-engineered processes to automate manual steps. Validates risk, valuation, and instrument data and supports Solvency II TPT reporting.
OSTC
Feb 2021 - Feb 2022 (1 year)
Executed relative-value spread strategies in STIR and commodity futures, managing intraday exposures and P&L. Used fly, condor, and combo structures to express yield-curve views.
Freelancer
Feb 2020 - Feb 2021 (1 year)
Designed and backtested systematic strategies in Python for equity indices and cryptocurrencies. Built a reusable backtesting framework.
Star Beta
May 2019 - Feb 2020 (9 months)
Traded cryptocurrencies and analyzed P&L, market microstructure, spreads, liquidity, and execution costs. Developed and backtested strategies while managing risk.
Reviewed NAV and derivative accounting, reconciled valuation and instrument data, and led audit, issue-escalation, and client-onboarding workstreams.
Degrees, certifications, and relevant coursework
Master's degree, Risk Management
Completed a Master's degree in risk management at UEK in Cracow in 2019, with a thesis on algorithmic trading using Python RNN based models.
Bachelor's degree, Economy and Management
Completed a Bachelor's degree in Economy and management at UPEC in Paris in 2016.
Selected specialized courses, Data Science
Completed selected specialized courses on DataCamp.
Executive Programme in Algorithmic Trading, Algorithmic Trading
Completed the Executive Programme in Algorithmic Trading from QuantInsti.
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