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iRuiz Consulting | World expert in counterparty and funding riskFocused in Counterparty and Market Risk Analytic, CVA & FVA pricing.
http://www.iruizconsulting.com/
Focused in Counterparty and Market Risk Analytic, CVA & FVA pricing.
http://www.iruizconsulting.com/
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iRuiz Consulting | World expert in counterparty and funding risk | iruizconsulting.com Reviews
https://iruizconsulting.com
Focused in Counterparty and Market Risk Analytic, CVA & FVA pricing.
iruizconsulting.com
Speaker & Training | iRuiz Consulting
http://www.iruizconsulting.com/speaker
Speaker & Training. Speaker & Training. If you are interested in having Ignacio in one of your events as a speaker, you can contact him here. Upcoming and recent events:. V-Fi Valuation Summit 2015. London, 16-19 June 2015. New York, 20-23 October 2015. Integrating XVA within the business. CVA and FVA in a nutshell. Integrating capital in the current valuation framework. RAROC vs. KVA in an XVA environment. Interactions between CVA, FVA and KVA. Product Control Banking Forum. London, 25-26 February 2015.
Papers & Interviews | iRuiz Consulting
http://www.iruizconsulting.com/publications
Speaker & Training. Papers & Interviews. A Complete XVA Valuation Framework. Why the “Law of One Price” is dead. Interview to Ignacio Ruiz, conducted by PRMIA, on the subject of FVA. In this interview Ignacio explains the reasons behind FVA:. When and how it should and shouldn’t be used. Why is there so much controversy around it? Listen to the interview. Optimal Right and Wrong Way Risk. This paper provides a comprehensive study on Right and Wrong Way Risk. In this paper, the authors…. Next, using these...
Curriculum Vitae | iRuiz Consulting
http://www.iruizconsulting.com/curriculum-vitae
Speaker & Training. Before setting up iRuiz Consulting, he held positions as head strategist for Counterparty Risk Exposure Measurement at Credit Suisse, Head of Equity Risk Methodology at BNP Paribas and Hedge Fund Analyst at Hamilton Lunn. PhD in Physics Nanotechnology of ferromagnetic particles. Fully funded by the European Commission. Published in top scientific journals. Thesis submitted in 2 years and 11 months from start. Independent Expert Advisor in quantitative risk, XVA and Regulatory Capital.
XVA pricing | iRuiz Consulting
http://www.iruizconsulting.com/expertise/cva-pricing
Speaker & Training. Ignacio has a strong understanding of the Counterparty Credit Risk. And Funding Risk methodologies and system development that are common to. CVA, FVA and KVA pricing. 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 and FVA space. Heavily involved in the centre of counterparty risk profiles in tier-1 investment banks. In particular:.
Market Risk Analytics | iRuiz Consulting
http://www.iruizconsulting.com/expertise/market-risk
Speaker & Training. 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. Enhancement of Vega methodology in VaR calculation. Member of Market Risk discussion group.
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Chapter 11 | XVA Desks website
http://xvadesks.com/cf-11
Coloured Figures - Chapter 11. Types of counterparty credit risk hedging. Illustration of the role of a CVA for a standard trading desk. Illustration of a credit hedging position for a CCDS. Illustration of a hedging of counterparties with low liquidity. Time series of some randomly selected credit spreads. EPE and ENE profile of a $100m IR swap. Illustration of the impact of counterparty credit risk in an organisation.
Table of Contents | XVA Desks website
http://xvadesks.com/table-of-contents
XVA Desks - A New Era for Risk Management. Understanding, Building and Managing Counterparty, Funding and Capital Risk. Part I - The Context. Part II - Quantitative Fundamentals. Part III - The XVA Challenge. Part IV - Further to XVA. Part V - Appendices. Chapter 1 – The Banking Industry, OTC Derivatives and The New XVA Challenge. 11 A simple bank’s balance sheet. 111 The banking book. 112 The trading book. 113 Off balance sheet assets. 12 The role of banks in the economy. 13 The business of finance.
Chapter 8 | XVA Desks website
http://xvadesks.com/cf-8
Coloured Figures - Chapter 8. Illustration of the history of counterparty credit risk in financial institutions. Illustration of the hierarchy of the CVA calculation. Illustration of the lattice points for a recursive CVA calculation. CVA pricing error (standard deviation of the price over several calculations) for a 10-year interest rate swap. Illustrative term structures of credit spreads.
Chapter 12 | XVA Desks website
http://xvadesks.com/cf-12
Coloured Figures - Chapter 12. Illustration of the source of funding cost for an uncollateralised OTC derivative. Illustration of the source of funding cost for a collateralised OTC derivative. Illustration of a proposed counterparty and funding risk management framework in a large financial institution. Qualitative illustration of the area that relates to CVA and to FVA.
Chapter 4 | XVA Desks website
http://xvadesks.com/cf-4
Coloured Figures - Chapter 4. Display of the risk underestimation when considering uncollateralised risk without the gap risk. Display of the risk underestimation when considering uncollateralised risk without the gap risk. EPE profile change from collateralised to uncollateralised, for a 5-year swap. EPE profile change from collateralised to uncollateralised, for a 5-year forward. EPE profile change from collateralised to uncollateralised, for a 5-year long call option.
Sample PDF | XVA Desks website
http://xvadesks.com/sample-pdf
You can have a free PDF with a sample of the book. Download here your free book sample.
Chapter 7 | XVA Desks website
http://xvadesks.com/cf-7
Coloured Figures - Chapter 7. Simplified illustration of the payments structure of a credit default swap. Source: Standard and Poor’s. Illustration of an exponential smoothing technique for PD estimates. Default rates per sector in the 1920-2010 period. Global corporate average cumulative default rates (1981-2011). Source: Standard and Poor’s. Global corporate average marginal default rates (1981-2011). Source: Standard and Poor’s. Default rate and average recovery rate (1-LGD) (1982-2001).
Chapter 10 | XVA Desks website
http://xvadesks.com/cf-10
Coloured Figures - Chapter 10. Illustration of the empirical dependency between equity and credit. Illustration of the empirical dependency between FX (with USD as the reference currency) and credit. Illustration of the empirical dependency between commodities and credit. Impact of DWR modelling in counterparty credit risk metrics in an uncollateralised long FX forward. Impact of DWR modelling on counterparty credit risk metrics in a collateralised long FX forward.
List of Figures | XVA Desks website
http://xvadesks.com/list-of-figures
XVA Desks - A New Era for Risk Management. Understanding, Building and Managing Counterparty, Funding and Capital Risk. Part I - The Context. Part II - Quantitative Fundamentals. Part III - The XVA Challenge. Part IV - Further to XVA. Part V - Appendices. Chapter 1 – The Banking Industry, OTC Derivatives and the New XVA Challenge. 11 Example of a simplified banking book. 12 Example of a simplified bank’s balance sheet. 13 The hedging mechanism for OTC derivatives. 23 Type of collateral received. 35 Price...
Chapter 5 | XVA Desks website
http://xvadesks.com/cf-5
Coloured Figures - Chapter 5. EPE profiles for two illustrative netting sets. EEPE value as the notional of netting set 1 changes. Maximum of the EPE profile value as the notional of netting set 1 changes.
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iRuiz Consulting | World expert in counterparty and funding risk
Speaker & Training. Global Subject Matter Expert. Quantitative Risk Analytics, XVA and Regulatory Capital - Independent Consultant. Ignacio Ruiz provides independent consulting services. In Quantitative Risk Analytics, CVA, FVA, KVA, regulatory capital and other related topics. He is highly delivery orientated. Ignacio, has a proven track record at designing risk methodologies, building risk analytics frameworks and managing projects to completion. Counterparty Credit Risk Analytics.
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