Mathieu Perona (Grad Year '05) - Société Générale - France

1. Where do you come from? Could you tell us about your education and, in particular, about the track in which you were at the Paris School of Economics?

I came to the Paris School of Economics through the École normale supérieure channel, after a Khâgne B/L. Something fairly classic. At the Paris School of Economics, I took part the APE Master, with an emphasis on empirical economics and econometrics. I continued with a PhD in economics, applying the tools of industrial organization to analyse public policies of the cultural industries. This provided me with a complete range on economic skills, from agent-based modelling to econometrics. While I did most of my PhD years at PSE, I finishedit with a temporary position (ATER) at SciencesPo's economics department.


2. Since your graduation at PSE, what kind of job have you had? According to you, what is the main value added that your education at PSE gave you?

After my PhD, I contemplated pursuing an academic career. However, personal constraints as well as some doubts about my interest in a lifelong academic carreer made me contemplate other options. I discovered that I had actually quite a few. I finally chose to work in the Risk division of Societe Generale, developing stress-testing and risk management quantitative methods. I am now manager of the stress-testing methodology team, a four-people group.

This job actually requires a large part of the skill I acquired at PSE, both during the Master and the PhD tracks. From the Master, I draw heavily from the econometric and macroeconomics foundations. Now that I am sometimes in the recruiter's seat, I value how important is the PSE blend of theoretical and applied works. From the PhD part, I have acquired the ability to quickly apprehend research article, something I see most people fresh from engineering schools lack.


3. In your current position, what are the day-to-day challenges that your are facing?

Right now, stress testing may be one of the more challenging areas in the finance industry. Regulations are evolving fast and the regulators rely more and more on stress-testing tools for assessing bank's capital needs. This means I am doing something very experimental, much in a R&D stage, and applying it immediately to billions-of-euros-sized issues. There is currently no industry-wide consensus on the right methods - and the regulators are rightly worried about model risk - and data is often limited, which makes it a challenge to develop robust and meaningful approaches. 

Broadly speaking, the other key challenge is to develop strong quantitative methods - you have to convince your internal audit and the regulator that your methods are theoretically and empirically sound - and at the same time convey the intuition and meaning of the results to risk managers and business line operational with little or no quantitative background but a deep banking expertise. There, the PSE blend of using theory to analyze actual public policies gave me the right tools to communicate with both a technical and a non-technical audience.

End of story, for now.