Fernando Vázquez
Senior Quantitative Developer at Mirai Advisory- Claim this Profile
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Bio
Experience
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Mirai Advisory
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United States
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Financial Services
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1 - 100 Employee
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Senior Quantitative Developer
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Mar 2020 - Present
Implementation of different approaches in finance. Modeling of financial behaviors within ALM, including advanced behavioral models such as prepayments, default and non-maturity deposits.Development of the calculation engine, valuation models and stochastic models integrated into Mirai ALM Tool (MAT), for the generation of the necessary metrics in the management of Interest Rate Risk and Liquidity Risk.https://www.miraialmtool.com/en/
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ALM Senior Consultant
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Jul 2018 - Present
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ALM Consultant
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Jul 2016 - Jun 2018
ALM Solution for Interest Risk Management and Regulatory PurposesWorking in a team implementing an advanced metric generation tool, Bancware, for internal interest risk management and regulatory requirements.Key functions:Functional analysis & requirements definition to adapt the data for the requirements of Bancware. Functional support & definition of the technical processes to feed Bancware in order to achieve higher efficiency and improve computing times.Functional definition of the financial behaviours necessary to generate metrics used for interest risk management (MVE,NIM,Modified Duration,etc).Program financial behaviour of instruments with complex payment patterns.Analysis of metrics under different stress scenarios.Client: International bank -Mexico- Show less
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ALM Analyst
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Mar 2015 - Jul 2016
ALM Solution for Regulatory PurposesFunctional analysis & requirements definition of regulatory liquidity reports for Banking Supervisors (Bank of Mexico, Basel Committee, EBA, Bank of Spain, etc.): LCR , NSFR , CCL , etc. Functional analysis & requirements definition of different metrics used for liquidity management (Structural Liquidity Ratio, Liquidity Horizon, etc.). RDA Compliance.Functional support and definition of the technical processes used in ALM liquidity solution.Client: International bank -Mexico- Show less
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A.M.A. Agrupación Mutual Aseguradora
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Spain
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Insurance
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200 - 300 Employee
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Internship
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Nov 2013 - Apr 2014
Assisting the product manager & supporting the product campaign Discounts controller & budget supervision Supervision of insurance pricing Assisting the product manager & supporting the product campaign Discounts controller & budget supervision Supervision of insurance pricing
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Education
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Universidad Complutense de Madrid
Bachelor of Business Administration (BBA) -
Instituto BME (Bolsas y Mercados Españoles) - Grupo BME
Master in Financial Risk Management -
ISEG - Lisbon School of Economics & Management