Global Subject Matter Expert

Quantitative Risk Analytics, XVA & Regulatory Capital - Independent Consultant

Subject Matter Expert

Ignacio Ruiz provides independent consulting services in Quantitative Risk Analytics, CVA, FVA, KVA, regulatory capital and other related topics. He is highly delivery orientated. Ignacio, has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion in tier-1 investment banks. Previous to establishing himself independently, he was the head strategist for Counterparty Risk exposure measurement at Credit Suisse, and the head of Equity Risk Methodology at BNP Paribas. He holds a PhD in nano-physics from Cambridge University. Key areas of expertise include:

Counterparty Credit Risk Analytics

Risk Factor Evolution Risk metrics: PFE, EPE, cPFE Model, Calibration, Pricing within MC simulation, Model Backtesting, Regulatory Capital Calculation   MORE  

XVA pricing

CVA, FVA, & KVA pricing, Credit Spread curve proxy, Delta Hedging, Integration with Risk function   MORE  

Market Risk Analytics

VaR, ES, Parametric Monte Carlo and Historical Simulation, Advanced Methodologies, Validation   MORE  

Project Delivery, Internal Governance & Regulatory

IMM capital applications, Coordination, Methodology, Risk Management and Systems, Internal Governance processMORE  

Papers & Interviews

A Complete XVA Valuation Framework

Why the “Law of One Price” is dead

Pricing a book of derivatives has become quite a complicated task, even when those derivatives are simple in nature. This is the effect of the new trading environment, highly dominated by credit, funding and capital costs. In this paper the author formally sets up a global valuation framework that accounts for market risk (risk neutral price), credit risk (bilateral CV A), funding risk (F V A) of self-default potential hedging (LV A), collateral (CollV A) and market hedging positions (HV A), as well as tail risk (KV A). These pricing metrics create a framework in which we can comprehensively value trading activity. An immediate consequence of this is the emergence of a potential difference between fair value accounting and internal accounting. This piece of work also explains the difference between both of them, and how to perform calculations in both worlds in a realistic and coherent manner, demonstrating via arbitrage-impossibility arguments that an XVA frameworks should be used in both cases

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