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