Quantitative Risk Analytics, XVA & Regulatory CapitalIndependent Consultant
iRuiz offers vast experience in the are of Risk Methodology and Modelling. Ignacio has developed and implemented several risk factor models, optimised pricers, Wrong Way Risk models, CVA, FVA & KVA pricing engines with their market sensitivities, structure pricing as well as market risk models.
He has helped many institutions in this area since 2001.
Ignacio has been developing frameworks for Regulatory Capital since 2006, including CCR, CVA, Market Risk and Stress Testing. He has developed and implemented IMM capital models and has lead IMM approval application processes. He often advises his clients in the implications of upcoming regulations.
Some of the main OECD Regulatory Bodies are frequent clients of iRuiz Consulting.
XVA Desks, A New Era for Risk Management
Ignacio authored the first book ever entirely specialised in XVA. In this work Ignacio condenses his vast experience in the area of XVA, including Counterparty Credit Risk, Monte Carlo engines, collateral simulation algorithms, CVA FVA & KVA pricing and management, regulatory capital calculation, model risk and clearing.
Papers & Interviews
Ignacio Ruiz has several publications in the area of Quantitative Risk and XVA. Topics include advanced techniques for Counterparty Credit Risk and XVA, Backtesting methodologies and Wrong Way Risk models.
Training course are provided personally by Ignacio round the globe. He has a course in XVA that helps the audience understand the fundamentals of CVA, FVA & KVA, as well as implications in an organisation, risk mitigants like collateral, XVA calculation techniques, proxies, hedging, regulatory capital, clearing, initial margining, model risk, backtesting, etc. The course is provide in modules that can be tailored to each client’s needs.
95% of attendees rate his courses at “Excellent“.
Model Risk & Auditing
Model Risk Management is central to XVA. Ignacio has helped developing frameworks to measure and manage this risk. Work includes both model validation, model backtesting and assessment of the appropriate model usage and implementation following Fed’s SR11-7.
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 in tier-1 investment banks. Previous to establishing himself independently, he was the head strategist for Counterparty Risk exposure measurement at Credit Suisse, and the head of Equity Risk Methodology at BNP Paribas. He holds a PhD in nano-physics from Cambridge University. Key areas of expertise include:
Counterparty Credit Risk Analytics
Market Risk Analytics
Project Delivery, Internal Governance & Regulatory
Ignacio Ruiz is the founder of iRuiz Consulting. He has a strong track record in the Quantitative Risk, CVA & FVA space, always in Tier-1 investment banks in London.
Papers & Interviews
A Complete XVA Valuation Framework
Why the “Law of One Price” is dead
Pricing a book of derivatives has become quite a complicated task, even when those derivatives are simple in nature. This is the effect of the new trading environment, highly dominated by credit, funding and capital costs. In this paper the author formally sets up a global valuation framework that accounts for market risk (risk neutral price), credit risk (bilateral CV A), funding risk (F V A) of self-default potential hedging (LV A), collateral (CollV A) and market hedging positions (HV A), as well as tail risk (KV A). These pricing metrics create a framework in which we can comprehensively value trading activity. An immediate consequence of this is the emergence of a potential difference between fair value accounting and internal accounting. This piece of work also explains the difference between both of them, and how to perform calculations in both worlds in a realistic and coherent manner, demonstrating via arbitrage-impossibility arguments that an XVA frameworks should be used in both cases