Investment Bank

• Jan 2022 - Present

ALM & Treasury

• Oct 2020 - Jan 2022

Risk Analytics - M.L and A.I. Analytics

• Oct 2018 - Oct 2020

Credit risk modeling and analytics. Data science. Machine learning models prototyping and engineering. Credit risk modeling and analytics. Data science. Machine learning models prototyping and engineering.

Head of Interest Rates Derivatives

• May 2017 - Oct 2018

Head of Interest Rates Derivatives Trading Desk:Managing a book of Interest Rates Swaps on EUR (Euribor, Eonia), USD, GBP,Managing a book of volatility products on interest rates (mainly EUR and USD). Activity focuses mainly on hedging volatility. delta and correlation risk of Interest Rates products such as Swaptions (European and Bermudan style), Caps and Floors, Range Accruals, CMS swaps, caps/floors and caps/floors spreads.Market making on Bond Options Volatility (Btps, Bunds, Oats) with accurate modeling of OTC bond options volatility surface.Developed SABR shifted lognormal model.Developed a new framework for analisys and storage of large market data in Python (HDF5) and MySQL.Neural Network and other Machine Learning algo implementations for market predictions and clustering (supervised and unsupervised techniques in Python and Tensorflow). Show less

Head of Interest Rates Volatility Trading

• Jan 2010 - May 2017

Exotic And Hybrids Products Trading

• Jan 2008 - Dec 2009

Managing a book of exotics on world single names (Europe, US, Japan), mainly altiplanos, basket options, and other worst-off style structures. Autocallable and other hybrids (interest rates/equity).Trading of correlation (corr swaps).

Equity Derivatives Trader

• Jun 2006 - May 2007

equity exotic options trading modeled a stochastic volatility framework for pricing complex derivatives equity exotic options trading modeled a stochastic volatility framework for pricing complex derivatives

Index Volatility Trader

• Nov 1999 - May 2006

Trading equity index options for the proprietary desk. Activity mainly focused on plain vanilla products. Development of automatic trading applications. Developed c++ applications for risk management and volatility trading for index options. Managed flows from institutional clients. Trading equity index options for the proprietary desk. Activity mainly focused on plain vanilla products. Development of automatic trading applications. Developed c++ applications for risk management and volatility trading for index options. Managed flows from institutional clients.