Ignacio has a strong understanding of the Counterparty Credit Risk and Funding Risk methodologies and system development that are common to
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- 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:
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- EPE model development for CVA
- Methodology design for FVA
- Model Calibration for CVA & FVA pricing
- CVA hedging
- Impact of regulatory environment in CVA
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- Head of Counterparty Risk Analytics for all equity products, incl EPE calculations.
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- Head strategist for exposure measurement, EPE profiles.
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