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.