Matthieu MAURICE Graduate in financial mathematics – Counterparty Risk Trader Permanent address: Ziegenhainer Straße 57 D-60433 FRANKFURT AM MAIN - GERMANY Born on September 3rd 1978. French citizen. Maried, 1child

Tel: + 49 176 965 21 695 Mail : [email protected]

WORK EXPERIENCE Since March 2005

Full-time position at DRESDNER KLEINWORT– COUNTERPARTY PORTFOLIO MANAGEMENT – MODELS AND METHODOLOGY – Frankfurt am Main (Germany) Management of the counterparty credit risk in the bank’s derivatives book. • Marking to market the credit risk of the bank’s interest rate derivatives book based on future expected exposure and credit spreads using the bank’s internal system. • Calculation of the risk sensitivities of the counterparty risk (credit spread, interest rate, inflation and FX and other risk sensitivities). • Active hedging the market risk inherent in counterparty risk, at first, interest rate, inflation and FX risk. • Development and enhancement of quantitative models for pricing and hedging the credit risk in derivatives • Ad-hoc pricing of the credit risk of new exotic derivative business

April 2002February 2005

Full-time position at DRESDNER KLEINWORT– PORTFOLIO MANAGEMENT –ANALYTICS – Frankfurt am Main (Germany) Definition of Portfolio Management’s role in the credit application and decision process. Strategic consideration for optimising the Risk/Return of the portfolio. • Interface to external credit risk and portfolio management softwares. • Implementation of a MtM tool (SQL Server – C#) for the Capital Markets loan portfolio. Evaluation and monitoring. • Calculation of sensitivities, Risk Capital and Credit VaR. Measuring of portfolio performance. • Restructuring the portfolio and reducing risk capital by actively trading or hedging portfolio assets. • Development of a Cash Flow based MtM valuation process. • Development of a Portfolio Scenario Analyzer (shock and gap analysis). • Design and Implementation of a synthetic CDOs pricer (fair spread, loss distribution, tranche rating) in VB. • Analysis of the impact of structured finance transactions on the portfolio. • Implementation of a VB Correlation Engine for Moody’s KMV registered names and private firms. • Development of a ABS Pricing and Rating Tool in VB based on the Fourier Transformation Method provided by Moody’s for Structured Products.

October 2001 – March 2002

Internship in DRESDNER KLEINWORT WASSERSTEIN – EQUITY DERIVATIVES SALES TRADING - Frankfurt am Main (Germany) • Marketing and trading through the EUREX system (futures and options) for domestic pension funds, corporates, foreign and domestic banks. Technical analysis of stock and bond derivatives markets. • Implementation of an interface with the EUREX system to compute prices for block trading positions. • Development of the internal trading application.

Frankfurt, June 25th 2008

October 2000 – September 2001

Internship in BNP PARIBAS - CAPITAL IT MARKET – DERIVATIVES -Frankfurt am Main (Germany) • Software development and maintenance for Back-Office and Risk-Control on Derivatives (EUREX and OTC). • Go-live and upgrade/migration for EUREX Back-Office front-end. • Back-to-front reconciliation tool development. • Tool development for greek sensitivities portfolio report. • Design and Implementation of modules for the counterparty risk management system.

EDUCATION July-August 2004 Training Programme 20/20 at INSEAD, France. Advanced modules covering equity and debt products and their derivatives, investment banking advisory techniques and financing tools, and effective team-working skills. December 2003 Level 1 in the Chartered Financial Analyst Program (CFA® Program). Knowledge tested included ethics, financial statement analysis, asset valuation, and portfolio management. 1998 - 2002 2001 1996 – 1998

1996

Ecole des Mines de Nancy, France. Graduate Engineering degree. Major in Operations Research and Finance, minor in Statistics. Last semester at TU Darmstadt (Germany). Henri Poincaré University, Nancy, France. Bachelor of Science in Mathematics with honours. Emphasis on Stochastic Analysis and Programming. Lycée Hoche, Versailles, France. Undergraduate courses for the full-time preparation to the nation-wide competitive entrance examination to French Colleges of Engineering. Admission to the Ecole des Mines, Nancy, France. Earned by equivalence an undergraduate degree from the Orsay University, France. Lycée Hoche, Versailles, France. High School leaving diploma with honours.

LANGUAGES French

Native speaker

German

Excellent communication skills (graduated with ZMP of the Goethe Institut).

English

Very good communication skills (graduated with FCE of the University of Cambridge).

Spanish

Basic communication skills. COMPUTER SKILLS

Environment Database Programming Software

Windows, Windows NT, UNIX, MacOS Sybase, Oracle, SQL Server (SQL Query Analyzer – SQL Enterprise Manager) Good knowledge in Java, C#, Visual C++, Visual Basic, Fortran 90, SQL and PL-SQL • Mathematics softwares: Mathematica, Maple, Matlab • Statistics softwares: SAS, SPSS, Statistica FINANCIAL SKILLS

Risk

• Market Risk (equity, FX and fixed income products) • Counterparty risk (interest rate derivatives, FX products, Inflation products, commodities, equity derivatives) • Credit risk (loans and credit derivatives)

External Applications

• Trading Tool: EUREX, Murex • Real Time data provider: Reuters Xtra, Bloomberg • Credit Portfolio: KMV Portfolio Manager, S&P Risk Tracker, CreditGrades, Credit Risk+ • Structured Finance: Fitch Vector Model, Moody’s CDOROM and STARFINDER, S&P CDO Evaluator

Frankfurt, June 25th 2008