Philippe Wüst is a director at Accuracy. He joined the firm in 2014 after gaining experience in quantitative finance with Deloitte’s Risk Services for three years.
Philippe has worked on market risk modelling and counterparty risk (in particular CVA/DVA) for banking clients such as CACIB or BNPP.
He has also worked extensively on ALM topics regarding interest margin projections in the context of internal and regulatory stress test exercises.
He has designed financial and strategic planning tools for all the businesses of two major international banks (P&L, balance sheet, credit risk, profitability, and liquidity indicators).
He also builds strategic business plans for institutions in litigation or due diligence contexts.
- Ecole Centrale Paris
- Columbia University
- Université Paris VI
Philippe has extensive expertise in the finance industry, having worked with clients across various sectors, including retail banking, corporate investment banking, insurance, asset management and private banking.
He has worked on a diverse range of engagements, covering risk management (including ALM, credit and market risk), strategic planning, complex valuations (e.g. for derivatives and other financial instruments) and financial due diligence on actors in the finance industry.
- Valuation of derivatives, implementation of exotic pricers (convertible bonds, etc.)
- Modelling of market risk and counterparty risk (in particular CVA/DVA), and involvement in setting up a CVA trading desk
- Review of the level 3 models during the 2014 AQR of a large finance and investment bank
- Expertise in hedge accounting, IAS 39 and IFRS 9 for banks and large corporate treasuries
ALM and other risks
- Development of a behavioural model of early repayments for a large mutual bank
- Construction of a tool for projecting the stressed net interest margin of a French bank
- Calculation and impact study of Basel 3 liquidity indicators: LCR, NSFR
- Accompanied several institutions on issues of ILAAP and ALM strategy, NIM stress tests, and the drafting of risk appetite frameworks
- Supervision of several regulatory stress tests (EBA, ECB, etc.)
Strategic and financial modelling
- Redesign of financial and strategic planning tools for all the businesses of two major international banks (P&L, balance sheet, risk, profitability and liquidity indicators)
- Strategic 2030 planning of a retail banking institution: benchmarking, workshops with all business lines, financial trajectory
- Statistical modelling of all major banking businesses: retail, CIB, asset management, etc.
- Optimisation of mortgage client rates for a major retail bank
- Strategic renegotiation with Visa and Mastercard payment schemes
- Due diligence on the purchase of a clearing house
- Business plan study in a dispute involving an international bank