Market Risk Analytics

Ignacio Ruiz was the head of Market Risk Methodology for equities at BNP Paribas.

 

    • Revision of IMM backtesting methodology
    • Enhanced Historical Simulation methodology

 

    • Design of VaR methodology for Equity Repo rate
      • Work includes research, methodology definition, backtesting, presentation to Methodology Committee and go-live support.
    • Design of dividend risk methodology for single equity stocks
      • Ignacio revised the existing dividend risk methodology for equity indices and assessed its suitability for single equity stocks.
    • Enhancement of Vega methodology in VaR calculation
      • Supervised the proposed enhancement to the Vega VaR methodology in the context of a local volatility model.

 

    • Member of Market Risk discussion group

 

    • Measurement of risk sensitivities and VaR in the investment portfolio
    • Delta-hedging of complex derivatives