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.