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Federal Trust Fund for Rural Development (Mexico's Central Bank)
Risk Management Specialist
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Developed quantitative methodologies to identify, measure, control and reveal financial risks to be in full compliance with National (CNBV) and International regulations in Risk Management (Basel III)
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Implemented operational risk management (ORM) according to Basel II to calculate operational risk capital under AMA (advanced measurement approach) resulting on the first public financial institution in Mexico (2010) that has integrated these standards. Here is an update for ORM - Basel 4 The New Standardised Approach (SA).
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Collected and examined data for an internal credit scoring system focused on the rural enterprises promoting new business between financial intermediaries and credit beneficiaries.
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Appraised the risk exposure of fix interest rate and U.S. dollar portfolio (IRS Valuation Example). Established trading counterparty limits to Interest Rate Swaps (IRS) and Cross Currency Swaps (CCS) engaged on the OTC market resulting in a sustained sound practice of hedging positions and strengthened the institutions risk profile.
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Portfolio valuation, Credit VaR, Market VaR (Historic, Parametric, Montecarlo), Model Validation, Back-testing, Stress-testing
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Operational risk capital calculation (brief presentation)
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