Ignacio Ruiz has an extended experience in designing and implementing Counterparty Credit Risk frameworks.

 

  • IMM model approved
  • Implementation of Risk Factor Evolution models
  • Implementation of pricing models
  • Implementation of backtesting algorithms
  • IMM model validation
  • Evaluation and design of trade analysis team methodologies
  • Validation of EPE and PFE calculation tools
  • Internal approval of models, governance process
  • Regulatory approval of models

 

 

 

 

  • Design of equity volatility models
  • Non-stochastic term structure of simulation volatility
  • Non-stochastic partial vega capturing in option pricing
  • Local volatility model applied to counterparty risk
  • Stochastic volatility model
  • Research of a holistic “fast” pricer approximation
  • Implementation of advanced simplified pricers
  • Methodological solutions to ad-hoc problems
  • Proxy pricing
  • Investigation of feed issues
  • Design of risk methodology for brokerage business
  • Calibration methodology
  • Support to backtesting
  • Support to IT
  • Deep knowledge of Markit Analytics system
  • Cross-Asset class experience: Rates, Equity, FX and Credit
  • Full design of credit and default risk factor evolution
  • Development (in QuicScript) and testing of new pricers
  • Point of contact with third party provider (QuIC Financial Technologies)
  • Design and implementation of optimisation algorithm for correlation matrix
  • Review and optimisation of calibration methodology
  • Support to backtesting
  • Support to IT