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

 

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XVA & FVA pricing

Counerparty Risk Analytics plus…

Credit Spread curve proxy

Delta Hedging

Integration with Risk function

 

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Market Risk Analytics

VaR, ESF

Parametric, Monte Carlo and Historical Simulation

Advanced methodologies

Methodology Validation

 

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Project Delivery, Internal Governance & Regulatory

Coordination: Methodology, Risk Management and Systems

Internal Governance process

IMM model approval

 

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