XVA pricing

Ignacio has a strong understanding of the Counterparty Credit Risk and Funding Risk methodologies and system development that are common to

    • CVA, FVA & KVA pricing
    • Regulatory capital calculation
    • Risk management

He has constantly worked with XVA desks in a number of tier-1 investment banks, developing EPE analytics to be used across the bank.

Ignacio has a number of publications in the CVA & FVA space.

 

Heavily involved in the centre of counterparty risk profiles in tier-1 investment banks. In particular:

    • EPE model development for CVA
    • Methodology design for FVA
    • Model Calibration for CVA & FVA pricing
    • CVA hedging
    • Impact of regulatory environment in CVA

    • Head of Counterparty Risk Analytics for all equity products, incl EPE calculations.

    • Head strategist for exposure measurement, EPE profiles.