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JULIEN DHIMA | CV

● Email address: moc.liamg%40amihd.neiluj● Linkedin: https://www.linkedin.com/in/julien-dhima-a9790952

ABOUT ME

PhD, Expert Consultant, Researcher, Trainer, and Economist specialising in Banking Risks, Prudential Regulation, and Sustainable Finance

Expertise and Strengths:
● Assessment and Calculation of Prudential Credit Risk Metrics: Includes expected loss (EL), risk weight (RW), risk-weighted assets (RWA), capital requirements (K), probability of default (PD), loss given default (LGD), exposure at default (EAD), maturity (M), and correlation coefcient (R).● New Defnition of Default (NDOD) and Credit Quality Indicators: Evaluation of performance status (stages 1, 2, 3), impairments, and net cost of risk (NCR).● Audit and Control of Banking Data: Particularly credit data, and implementation of regulatory requirements.● Analysis and Interpretation of Regulatory/Prudential Standards: Includes Basel Committee standards, European regulations (CRR/CRR2/CRR3, EU Taxonomy, SFDR, etc.) and directives (CRD4/CRD5/CRD6, NFRD/CSRD, etc.), as well as level 2 and 3 European regulations (Delegated Acts, Regulatory Technical Standards (RTS), Implementing Technical Standards (ITS), and Guidelines (GL)).● European Macroprudential Stress Tests: Conducted in-depth studies as part of thesis research.● Environmental, Social, and Governance (ESG) Risks: Includes transmission channels, climate stress tests, Pillar 3 ESG disclosures, EU Taxonomy regulation, NFRD/CSRD directives, and the consideration of ESG risks within the prudential framework (internal capital (Pillar 2) and/or minimum capital requirements (Pillar 1)).● Structural Models for Assessing Probability of Default: Includes fundamental credit risk models, such as Merton/KMV and Gordy-Vasicek, Probit or Logistic Regressions, etc.● Counterparty Risk: Exposure calculation and decomposition using Standard Method (SA/SA-CCR) and Internal Modelling Method (IMM).● Data Manipulation and Analysis: Profcient in Excel, SAP Business Objects, Access, SQL, Alteryx, and Power BI.● Programming: Skilled in VBA and R.● Writing: Experience in producing studies, scientifc articles, and regulatory notes.● Interpersonal Skills: Excellent communication, adaptability, responsiveness, and autonomy.

WORK EXPERIENCE

24/09/2024 – 31/12/2024 Paris - La Défense, FranceEXTERNAL INDEPENDENT LECTURER EMLV - ECOLE DE MANAGEMENT LÉONARD DE VINCI

External Lecturer on Corporate Social Responsibility (CSR) for the following Master's Programs: • Finance and Management Control; • Corporate Finance; • Audit and Performance Management; • Financial Markets.
17/01/2022 – CURRENT Paris, FranceEXPERT CONSULTANT AND RESEARCHER IN CREDIT AND CLIMATE/ESG RISKS│HEAD OF REGULATORY MONITORING AND ANALYSIS UNIT LAMARCK GROUP - FINANCE DIVISION

 I. Internal Responsibilities
● Research and Methodology Development: Leading research and developing methodologies for the integration of climate risks into credit risk and the calibration of internal bank capital (ICAAP framework).● Regulatory Monitoring and Analysis: Contributed to the European Banking Authority (EBA) consultation on ESG risks, and leading work on prudential regulation topics.● Creation and Contribution to Consulting Services: Developing and delivering consulting services andconferences/seminars on ESG risks, including assessment, management, reporting, regulatory developments,and future perspectives.
Links:● https://www.lamarck-group.com/newsroom/news/les-risques-esg-dans-le-cadre-de-crr3-crd6/66abb28e8931f● https://www.eba.europa.eu/eba-response/75227?destination=/publications-and-media/events/consultation-draft-guidelines-management-esg-risks

II. Advisory Missions at Société Générale - Financial Directorate
2023-2024: Consulting on Regulatory and Internal Reporting ProcessesThis role involves reviewing and improving the reliability of reporting processes, overseeing and managing theproduction, analytical review, and validation of results, analyzing regulatory texts and auditing their internalimplementation, translating regulatory or internal changes into operational rules, reviewing and updating internaldocumentation, and preparing responses for the supervisor (ECB and/or ACPR) for the following reports:● STE Leveraged Finance: Supervisory reporting related to leveraged finance (exposures to non-investment-gradefirms and non-SMEs with a Total Debt/EBITDA ratio >4, or credit exposures where the borrower is owned by oneor more financial sponsors).● Supervisory Benchmarking: Reporting of prudential credit risk metrics (PD, LGD, CCF, EAD, EL, M, RWA before/after CRM) by exposure cluster under the IRB approach.● NDOD Monitoring: Reporting of prudential credit risk metrics by rating system, including regulatory add-ons.● Internal Reporting of Credit Quality Indicators for Non-Retail Exposures: Monitoring non-performing loans (NPL) and watchlist loans (WL) in stock and fow, the net cost of risk (NCR), etc.
2022-2023: Consulting on the Asset Quality Review ProcessThis role involved defning, analysing, and ensuring the reliability of the bank's credit data to respond to on-site inspections (OSI) by the European Central Bank (ECB). The data was compiled as Loan Tapes at the counterparty, instrument, and collateral levels for six banking portfolios: Commercial Real Estate, Residential Real Estate, Corporate, Leverage Financing, Retail SME, and Other Retail. I proposed, performed, and guided consistency and completeness controls. I analysed and presented the results to various stakeholders, including business lines, the project management team, and the management body.

03/12/2021 – CURRENT Paris, France
INDEPENDENT TRAINER IN BANKING REGULATION AND ESG RISKS AFGES (FORMATION BANQUE
FINANCE ASSURANCE)

I review training materials, provide training to practitioners and managers in banks and with the supervisor (ACPR), and eventually write articles on the following topics:● ESG Risks: • The essentials of ESG risks. • Pillar III ESG reporting. • EU taxonomy for sustainable activities. • Loan origination policies and ESG criteria. • Integration of ESG risks into Pillar 2 and Pillar 1 capital and liquidity requirements.● Pillar 2 Framework: SREP, ICAAP, ILAAP, RAF, and stress tests.● Deployment of the Pillar 3 Framework within Banks.
Website https://www.afges.com/animators/julien-dhima/

06/04/2020 – 31/12/2021 Maisons-Alfort, FrancePRUDENTIAL STANDARDS ANALYST BPIFRANCE - DEPARTMENT OF REGULATORY RISK MANAGEMENT

The role involved identifying, analysing, and monitoring new topics in prudential regulation, assessing their impact on the bank's activities, and supporting the project team or business units in implementing the relevant regulatorychanges.● Monitoring New Regulatory Publications: Conducting inventory, providing short summaries, and performing preliminary impact analyses, along with preparing normative analysis notes and communication emails.● Auditing the Existing Defnition of Default: Ensuring compliance with the EBA Guidelines under Article 178 of the CRR Regulation.● Impact Study: Conducting an impact study on the introduction of the new standard method for calculating, as well as the CRR II regulation and CRD V directive, including areas such as SA-CCR, exposures to CIUs, indirect exposures for large exposures purposes, market risk impacting the banking book (FRTB framework), equity and eligiblecommitments, and ESG risks.● Impact Study: Conducting an impact study on the introduction of the new standard method for calculatingcounterparty risk (SA-CCR) on EAD and RWA.● Analysis and Support for Businesses: Assisting in the implementation of COVID-19 moratoria and new bankingproducts (e.g., reverse factoring).● Participation in French Banking Federation Meetings: Engaging in discussions, particularly those related toPillar 3 ESG reporting.

07/01/2016 – 03/04/2020 Paris, FranceCONSULTANT IN CREDIT AND COUNTERPARTY RISK QUANTEAM

2017 - 2019: Consulting on the Homologation of Counterparty Risk Metrics at Société Générale CIBThis role involved controlling, conducting functional analysis, and validating the content and results of homologationtests for various development projects related to regulatory or business changes. These included updates tocalculation rules, pricing models, diffusion process parameters, integration of new entities or instruments, orsecurities haircuts, all in the context of calibrating counterparty risk metrics (MtM/MtF, Credit-VaR, and EEPE/EAD). The primary instruments were derivatives (both OTC and listed) and repos. Risk exposures were calculated using Monte-Carlo simulations (generating MtF matrices) or standard methods.

● Control and Validation: Oversaw and validated the content of major releases.● Risk Exposure Analysis: Analysed risk exposures calculated at diferent levels and reconciled variations (between tests and production) with the release topics.● Anomaly Detection and Monitoring: Identifed, analysed, and tracked anomalies (unexpected discrepancies in deals or exposures).● Validation of Test Results: Validated test results and presented fndings to risk management teams.● Methodology Improvement: Enhanced functional reports and analysis methodology using SQL queries.● Training: Conducted training sessions for teams on the calculation of prudential credit risk metrics, particularly EL and RWA.

2016: Consulting on the Calculation and Certifcation of Prudential Metrics at Natixis - Prudential Ratios DepartmentThis role involved the control and certifcation of Risk-Weighted Assets (RWA) related to credit/counterparty risk, analyzing monthly and quarterly variations, and preparing corrections in accordance with CRR regulations. The main instruments included repos, derivatives (OTC and listed), fnancing/bonds, and equities, within the perimeters of Equity Markets, Fixed Income, and Specialized Lending. Additionally, I assessed the impact of credit risk parameters (EAD, PD, LGD, M, R) on RWA fluctuations, reviewed haircuts applied to securities in repo operations, and collaborated with the project owner team to enhance calculation rules.

25/08/2014 – 31/12/2015 Malakof, France
CONSULTANT IN CASH MANAGEMENT EOLEN FINANCE

2014-2015: Consulting on Cash Management Solutions at Société Générale - Global Transaction and Payment ServicesThis position involved implementing payment and cash management solutions and services for large and medium-sized companies, as well as supporting bank branches and clients in their usage and resolving any anomalies in the transmission of payment fows. The payment services ofered included SEPA transfers, intra-company cash transfers for cash pooling purposes, international and ofshore transfers, commercial bills, and SEPA direct debits. Additionally, I contributed to the improvement of internal procedures.

03/09/2012 – 01/03/2013 Paris - La Défense, FrancePORTFOLIO AND STRESS TESTING ANALYST (INTERNSHIP) SOCIÉTÉ GÉNÉRALE - RISK DIRECTORATE

This internship involved credit risk analysis of the Group’s fnancing portfolios within the framework of Basel II and Basel III, as well as measuring the impact of stress tests and Basel III evolutions on the bank’s capital requirements.● Credit Risk Data: Extracted, processed, and analysed credit risk data by counterparty, sector, business line, geographic area, and Basel portfolio.● Impact Measurement: Measured the impact of the transition to Basel III regulation on risk-weighted assets (RWA) for the 'Financial Institutions' portfolio.● Risk Concentration Analysis: Analysed credit risk concentration by sector and geographic area using both IRB and standard approaches.● Risk Identifcation: Identifed risky exposures or counterparties and analysed explanatory credit risk parameters such as EAD, rating/PD, LGD, and maturity.● Stress Testing: Conducted stress tests on the downgrading of Sovereigns in terms of PD and LGD.● Back-Testing: Performed back-testing of the average probability of default (PD) by sector portfolio.● Provisioning and NPL Analysis: Calculated the provisioning rate and the rate of non-performing loans (NPL) by sector, and analysed the coverage of defaulted exposures.● Programming: Programmed decision rules using VBA and SAP Business Objects.Regulatory Reporting: Prepared regulatory reporting documents for rating agencies, the Prudential Control Authority (ACP), and the management body.

04/06/2012 – 31/08/2012 Paris, FranceBACK-OFFICER - SETTLEMENT AND DELIVERY OF SECURITIES (INTERNSHIP) UBS FRANCE

This internship involved ensuring the correct exchange of securities for cash for 'high-end' clientele. The securities in question included stocks, bonds, UCITS, and structured products. ● Accounting: Ensured the proper accounting of market transactions in both customer and bank accounts. ● Settlement and Delivery: Managed the settlement and delivery of securities and monitored unsettled transactions. ● Research: Conducted research on UCITS Regulation.


● EDUCATION AND TRAINING

17/10/2013 – 10/10/2019 Paris, FrancePHD IN ECONOMIC SCIENCES University Paris 1 - Panthéon-Sorbonne

Thesis title: Evolution of Risk Management Methods in Banks under the Basel III Framework: A Study on Macroprudential Stress Tests in Europe
Thesis objective: My thesis investigated the imperfections of macroprudential stress tests from a theoretical perspective, particularly by establishing a link with the limitations of the function that calculates regulatory capital in internal model approaches (IRB). Additionally, I proposed a specifc stress test for concentrated credit portfolios and developed a new methodology to refect macroeconomic shocks on banks’ capital requirements using a systematic risk multi-factor model. I also measured the impact of a specifc liquidity stress test on a bank's solvency.
Field of study: Economic SciencesFinal grade: Doctor of Economic Sciences
Link https://hal.science/tel-02440557/

05/09/2011 – 25/06/2012 Paris, France
MASTER'S DEGREE IN BANKING AND FINANCE University Paris 1 - Panthéon-Sorbonne

10/10/2010 – 28/06/2011 Paris, FranceMAÎTRISE DEGREE IN BANKING AND FINANCE University Paris 2 - Panthéon-Assas

24/09/2007 – 10/06/2010 Guyancourt cedex, FranceBACHELOR'S DEGREE IN ECONOMIC SCIENCES University of Versailles - Saint-Quentin-en-Yvelines


● LANGUAGE SKILLS



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    • FRENCH

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    • ENGLISH

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    • ITALIAN

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Levels: A1 and A2: Basic user; B1 and B2: Independent user; C1 and C2: Profcient user

● DIGITAL SKILLS

Research and analytical skills | Critical thinking | Decision-making | Responsibility | Motivated | Team-work oriented | Good listener and communicator | Reliability | Flexibility | Creativity | Organizational and planning skills | Written and Verbal skills | Outlook | Microsoft Office (Word,Excel,PowerPoint,Access) | SAP BusinessObjects | Database: SQL, Oracle | R | VBA macros creation for Excel | Alteryx Designer (basic) | Microsoft Power Bi | SAS Enterprise Guide, SAS Base, SAS VA

● PUBLICATIONS

2024● Impact of Specifc Liquidity Shocks on the Bank’s SolvencyJournal of Risk Finance

This study aims to demonstrate and measure the impact of liquidity shocks on a bank’s solvency, particularly when the bank lacks sufcient liquid assets. The proposed model, which extends Merton’s (1974) model, enables banks to determine the necessary level of liquid assets required to withstand various liquidity shock scenarios (including potential second-round efects) under the assumptions considered. Therefore, it can contribute to:● Enhancing Internal Liquidity Adequacy Assessment Processes (ILAAPs): Allowing banks to manage liquidity from a solvency perspective.● Improving the Prudential Framework: Addressing the separation of liquidity and solvency in the current regulatory approach.● Expanding Existing Literature: Addressing the insufcient study of the impact of liquidity risk on solvency risk.
Link https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4448154
2024● Risques ESG : L’EBA publie un rapport sur le traitement des risques environnementaux et sociaux dans le Pilier 1Afges

The article analyzes the European Banking Authority (EBA) October 2023 report on the integration of environmental and social (E&S) risks under Pillar 1 (calculation of minimum capital requirements for banks). It focuses on the methodological challenges arising from the current IRB framework, particularly those related to the regulatory guidance of the “IRB Repair” program, for the consideration of E&S risks. Additionally, it proposes potential remediation strategies, such as integrating ESG risks into the calculation of economic/internal capital and imposing limits on unsustainable exposures.
Link https://www.afges.com/risques-esg-leba-publie-un-rapport-sur-le-traitement-des-risques-environnementaux-et-sociaux-dans-le-pilier-1/
2023● Quels outils prudentiels pour des fnancements bancaires plus durablesBSI Economics

This study focuses on analysing the efectiveness of European regulations in building a sustainable economy. It highlights sobriety as a crucial means of limiting global warming and the degradation of ecosystems and biodiversity.Specifcally, it is essential to prioritise a resilient and sustainable economy with well-being as its primary objective, even if this may lead to a decrease in fnancial returns and economic growth in the short and medium term.
Link https://bsi-economics.org/quels-outils-prudentiels-pour-des-financements-bancaires-plus-durables-note/
2022● Les règlements européens permettront-ils une véritable transition vers une économie durable? (Etude)BSI Economics

This study focuses on analysing the efectiveness of European regulations in building a sustainable economy. It highlights sobriety as a crucial means of limiting global warming and the degradation of ecosystems and biodiversity.Specifcally, it is essential to prioritise a resilient and sustainable economy with well-being as its primary objective, even if this may lead to a decrease in fnancial returns and economic growth in the short to medium term.
Link https://bsi-economics.org/les-reglements-europeens-permettront-ils-veritable-transition-vers-une-economie-durable-jd/
2021● La réglementation bancaire à l’heure des risques environnementauxBSI Economics

This study analyzes the introduction of environmental criteria and risks into banking regulations. It highlights the decisive role of banks in steering the economy toward sustainable activities and provides an inventory of theregulatory texts that were developed at the time this article was written.
Link https://bsi-economics.org/la-reglementation-bancaire-a-lheure-des-risques-environnementaux-note/
2020● Une analyse critique sur la fnalisation de Bâle IIIBSI Economics

This study critically analyses the December 2017 revisions to the Basel III reform. The analysis focuses particularly on the lack of change in the formula that banks must use to calculate regulatory capital under internal model approaches (Internal Rating-Based, IRB).
Link https://bsi-economics.org/une-analyse-critique-sur-la-finalisation-de-bale-iii-note/
● NETWORKS AND MEMBERSHIPS

30/09/2020 – CURRENT Paris, FranceBSI Economics

Economist and Member of the Think Tank: Conducted studies and published articles on financial stability issues, particularly those related to prudential regulation and sustainable finance.
Link https://bsi-economics.org/author/julien-dhima/
20/12/2023 – CURRENT Sumy, UkrainePeer-Reviewed Journal – Financial Markets, Institutions and Risks (FMIR)

External Reviewer.
Link https://armgpublishing.com/journals/fmir/external-reviewers/
● CONFERENCES AND SEMINARS

22/03/2024 – 22/03/2024 Master Sustainable Finance, KEDGE Business School, ParisSeminar for Master's students on the topic 'ESG Risk Reporting for Banks'

12/10/2023 – 12/10/2023 Master Banking-Finance-Insurance - University of Paris 1 Panthéon-SorbonneSeminar for Master's students on the topic 'Consideration of ESG Risks in Banks and Regulatory Perspectives'

22/09/2023 – 22/09/2023 Master Banking-Finance-Insurance - University of OrléansSeminar for Master's students on the topic 'Consideration of ESG Risks in Banks and Regulatory Perspectives'

22/09/2022 – 22/09/2022 ParisContribution to the Lamarck Group Conference: Addressed banking stakeholders on the topic 'Materialising Climate Risks in Credit Risk'