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
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