Madrid, Community of Madrid, Spain
Finance professional specialized in developing Python-based risk management, derivatives valuation, and ETL solutions (IRRBB, CSRBB, Liquidity, pricing models, econometrics) for leading banking institutions worldwide, with a very strong interest in the deeper rationale behind risk teams' strategic decisions and financial planning applied to banks as a whole.
- Led a project, actively engaging with clients and third-party software providers to implement a risk management software within the entity. The main responsibilities included project management and regulatory assessment across IRRBB, CSRBB, Liquidity, and Funding Plan frameworks. - Validated, assessed, and optimized models within the IRRBB framework, with a particular focus on Behavioural Models. - Designed and developed calculation tools for IRRBB and CSRBB (NII and EVE metrics) in Python for multiple banking entities, including methodology implementation, scenario design, and result validation against historical balance sheets to ensure accuracy and precision. - Built a Python-based valuation model for plain vanilla derivatives (IRS, Caps, Floors, Collars), complemented by a calibration model for implied volatility. Valuation of Fixed Income and Equity assets. - Developed a hedge effectiveness testing tool for derivatives in Python. - Developed econometric models in Python across diverse contexts for banking institutions worldwide. - Built a Web Application using Dash and a REST API with RESTFLY to integrate with the backend of a Risk Management Tool, leveraging PL/SQL for database connectivity, multiprocessing for efficient process execution on the server side, and Bitbucket for version control. - Designed and implemented ETL pipelines in Python and Azure (Data Factory & Databricks), applying multiple extraction methods including web scraping, API requests, and regex-based techniques for PDF parsing. These projects have been further supported by the extensive use of tools such as Excel, PowerPoint, and Bloomberg.