Ignacio Ruiz is the founder and managing director at iRuiz Consulting, where he provides a range of services in Quantitative Risk Analytics, with a focus in the XVA space. He has a proven track record at designing risk methodologies, building risk analytics frameworks, managing projects to completion and providing training in tier-1 universal financial institutions, investment banks, corporates, hedge funds, asset managers and regulators. His work includes facilitating the set up of XVA desks and functions in trading institutions, building and validating counterparty credit and funding risk models, helping in the application of IMM waivers for capital calculation models, facilitating the communication between trading, risk management, quants and systems units, risk quantitative research, backtesting of risk models, computer implementation of risk systems, etc. He has several publications that are often referenced in derivative pricing and risk management circles he has also authored the book XVA Desks – A New Era for Risk Management.
Before setting up iRuiz Consulting, he held positions as head strategist for Counterparty Risk Exposure Measurement at Credit Suisse, Head of Equity Risk Methodology at BNP Paribas and Hedge Fund Analyst at Hamilton Lunn.
In addition to his consulting work, Ignacio has set up iRuiz Techonologies, which develops niche and innovative algorithm-based solutions for this market. The first of these technologies, launched in 2015, is “MoCaX Intelligence”, a novel technology that has been proven to accelerate XVA, risk and capital calculations by several orders of magnitude. Click here for more information.
Ignacio is a regular speaker, and delivers tailored presentations and courses on XVA, risk management and technology topics to a number financial institutions, regulators, training companies, through conferences and to academic institutions. He holds a PhD in nano-physics from Cambridge University
- Fully funded by the European Commission
- Published in top scientific journals
- Thesis submitted in 2 years and 11 months from start
- Became an independent consultant in 2010
- Top profile projects in Tier-1 investment banks to expand and improve risk and XVA systems
- Advisory for the development of risk management and XVA processes and systems to European large corporates
- Responsible for all methodology development in Counterparty Risk, Exposure Measurement
- Design of Risk Factor Evolution models and Pricing algorithms
- Code development for the Counterparty Risk system
- Responsible for all methodology risk programs for equities
- Design of volatility models, simplified pricers, implementation of cross-department projects
- Review of calibration methodology, and constant IT/systems support
- Start up operation that started with two fresh computers and an empty room
- Developed, from “scratch” in C++ all the fund management systems: analytics, trading, risk management and NAV
- Key deliveries included a yield curve bootstrapping engine, a proprietary exotic structured product Monte Carlo pricer and a intra-second fund NAV calculator