Senior Quantitative Analyst - Market Risk & Pricing

• Oct 2019 - Present

- Collaboration with Structuring and Origination in the pricing/analysis of power, gas and emission rights related assets and structured products (wind, solar, and other kind of PPAs; virtual and non virtual power plants, accumulators, virtual and non virtual gas storage, curtailment, grid losses, etc...). Validation of the final pricings. - Validation and improvement of the econometric models produced by Markets Analysis and Modeling departments for pricing and forecasting of power and gas related variables and products (Merit Order Model, Portfolio Hedging Tool, Gas Curve Production, Optimization Strategies, etc...), proactive discussions in a quantitative and fundamental perspective. - Daily monitoring of VaR and other risk metrics related with trading and structuring, proactive discussions between Risk, Trading and Structuring departments about its validity and potential changes. - Collaboration with risk software support in the maintenance and improvement of econometric pricing and forecasting models. - Use of programming languages (R, Vba, Python) for contrasting Origination and Modeling pricing results and for other validation purposes. Show less

Senior Market Risk Analyst

• Mar 2017 - Jul 2019

· Quantitative analysis, modeling, and monitoring of the investment portfolio (specially fixed income analysis) in a market risk perspective (duration, IRR, VaR, Component VaR, Marginal VaR, Incremental VaR, Tail-VaR, Stressed VaR, EaR, profitability-risk ratios and other risk and performance indicators). · Proposal of new quantitative metrics and perspectives to market risk analysis performance. · Research and reporting of relevant financial markets and macroeconomic events and indicators to the investment portfolio, as well as financial markets analysis to explain the investment portfolio performance and to elaborate forecasts. · Development of tools with VBA for automate derivatives valuation and pricing processes and evaluate the effects of daily operations on portfolio market risk. · Counterparty and Issuer Risk Analysis · Back-up for ALM risk management unit · Review and testing of hedges volatility reduction through FX and interest rates derivatives. · Frequent use of programming languages (R-Programming and Visual Basic) and SQL query language. · Attendance to the ALCO and macro & markets research committees. · Quant valuation analysis of bonds, bills and IRS. · Daily use of Bloomberg and its functionalities on Excel. Show less

Financial Inclusion

• Jul 2016 - Mar 2017

· Big data management using advanced analysis tools (R-Programming). · Research assistance in the application of quantitative/econometric methods and analysis of conclusions. · Collaboration in the study of the electronic money implications on the financial regulatory system. · Collaboration in the writing of papers. · Big data management using advanced analysis tools (R-Programming). · Research assistance in the application of quantitative/econometric methods and analysis of conclusions. · Collaboration in the study of the electronic money implications on the financial regulatory system. · Collaboration in the writing of papers.

Macro & Markets Research

• Sep 2015 - Jul 2016

· Analysis of macroeconomics indicators and its implications in the short-medium term. · Performance anaysis of investment funds. Devolpment of tools for automate the calculation of quantitative indicators for the performance evaluation. · Eventual medium-term studies (valuation of currencies using PPA, breakeven inflation adjustment to measure inflation expectations, etc.). · Fundamental reports ellaboration of IBEX35 companies in order to collaborate in its valuation. · Financial regulation analysis. · Daily use of Bloomberg and its funcionalities on Excel Show less

Analyst

• Mar 2015 - Sep 2015

Interventor, Internship

• Feb 2014 - Jun 2014

My internship in the General Intervention department (Foreign Currencies Operation Control Division) conferred me a deep knowledge on global bank performance insights, and also most of the central bank singularities. My personal tasks has been oriented to: risk premium analysis, foreign and national investment control, price control about operations related to foreign securities by their own and others account, accounting intervention in operations related with foreign securities, primary bond market purchases control (seigniorage prevention), no limited secuirites control, Roll-over deposits control, modification limits in holdings control,foreign secuirities residual life control. Additonaly the CEO and the department director commisioned me to analyze several central bank balances risk exposure, and their social balances as well. Show less