Arturo Labanda Puerta

Experience

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  Delta Investigacion Financiera

  Jan 2001 - Jan 2004

  Analista de riesgos

  • Market and Credit risk calculation for derivatives.• Development of pricers and calculators in Visual Basic

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  Price Waterhouse Coopers

  Jan 2003 - Jan 2005

  Consultor Senior de Riesgos

  • Development of internal models for measurement credit risk in order to obtain advanced model in BIS II (IRB). Estimating PD, LGD and EAD with logit/probit models and historical data.• Economic Capital and RORAC models.

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  BBVA

  Jan 2005 - Oct 2007

  Unidad de Riesgos y Valoracion

  • Build calculators for exotic equity derivatives. Daily valuation for investment funds and pricing positions for calculate Net Asset Value, correlation and volatility estimation.• Date base feed for Bloomberg and Reuters• High client exposure explaining the mechanism and price of the product.

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  Banco Santander

  Oct 2007 - now

  Fundamental Review of the Trading Book (FRTB). Model development for SA and IMALeader of FRTB project in Methodology• New metrics and models implementation: curvature, DRC, etc.• Model development for Standard Approach (SA) and Internal Model Approach (IMA)• Risk Factors analysis and definition for IMA and development of new methodologies for identification and modeling of risk factors in terms of modellability.• Validation of new developments and design of prototypes for IT team. Show less Derivatives Valuation:• Analysis and review of mark to market valuation and inputs for exotic deals, for interest rates, FX and credit in front office systems (Murex and Kondor +). • Calculation of the fair value adjustments for exotic deals and development of market data for illiquid positions. Valuation methodology enhancements:• Implementation in front office systems of the new interest rate curves (basis and cross basis curves). Murex and Kondor+• Implementation of OIS discounting in Trading desk. Calibration of interest rate curves using dual bootstrapping methods. Experience in G3 markets and Latam markets (MXN, CLP and BRL curves) • Development of swap points curves for FX and daily calibration of basis curves (tenor curves) for EUR and USD. • Responsible for the cross training of the curve construction methodology among the Group units: UK, New York, Brazil, Mexico, Chile and Poland.• Responsible of new products and approval of exotic deals: • Review the model quality and the stability of pricing and greeks. • Calculation of risk matrices and scenarios in order to validate the product, review the model inputs and analyze the greeks for use in VaR calculation. Calculation of VaR for interest rates, FX, credit spread and equity risk factors for internal risk model. VaR model optimization for capital consumption: cross and second sensitivities, applying the same risk factors used in the mark to market valuation – basis curves/cross basis curves sensitivities, rating/sector series for spread risk, etc. Show less

  • Director Market Risk Models. Models and Data

    Mar 2016 - now

  • Riesgo de Mercado

    Oct 2007 - Mar 2016