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Quant trader.

Madrid, Community of Madrid, Spain
November 05, 2018

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Madrid, *th October ****, c/ Batanes 1, 7o 4 (Alcalá de Henares), 685229082, e-mail: Academic Qualifications

Jun.16-Jun.17 CQF(Quantitative Finance Certificate) Fitch Learning, Paul Wilmott Scholarship. May.18-Nov.18 FRM(Financial Risk Manager). GARP. Part I passed. 2008–Sep.2015 Ingeniero de Caminos, Canales y Puertos (Civil Engineering Masters Degree – 6 year programme) at the Universidad Politécnica de Madrid. Specialization in Structures and Foundations.

2013- 2018 Economics Degree at the National University of Distance Education. Ongoing Apr.15-Jun.16 Masters in Stock Exchanges and Financial Markets at IEB (Instituto de Estudios Bursátiles).

(Valuation of Financial Instruments)

2006-2008 International Baccalaureate at Colegio Internacional SEK-Ciudalcampo (Madrid) 2002-2006 International ESO MYP (Middle Years Program) at Colegio Internacional SEK-Ciudalcampo


Professional Experience

May.18-Current Quant-Trader at Energya-VM (Villar Mir Group): Power:

• DA Modelling with both Machine and Deep Learning applications. Developing Spread Strategies in both long and short term, using statistic techniques such as cointegration. Systematic Trading, looking for the automation and optimizing trading algorithms.

• Patterns recognition in order to predict the market trends.

• Pricing Derivatives.

• Volatility modelling and forecasting.


• Time series prediction with no linear analysis, and fractal patterns recognition. Feb.17-May.18 Quant-Supervisor at PwC(Quantitative Division): Leading methodology, development and creation.


• Derivatives pricing. Exotics And Vanilla OTCs

• Modeling and stress testing of IRRBB: NMD’s, IPF’s and Mortgage. Matlab, R y VBA..

• FRTB on IFRS9 implications.

• Development of tool for credit assessment, based on classic models and new applications

• Lecturer at Tier 1 banks and financial institutions.

• Development of a tool for analysis of liquidity, credit and capital for banks in Kazakhstan

(ILAAP, ICAAP) and finally obtain a rating in accordance with their situation Insurance:

• Development of methodology and implementation of PRIIPs applied tool. Calculation of premiums, disaggregated costs and risk category of savings and life products Ago.16-Feb.17 Quant-Sr.Consultant at PwC(Quantitative Division): Recently Upgraded. Leading methodology, development and creation.


• Derivatives pricing. Exotics And Vanilla OTCs

• Tool development of FRTB Standard Model Approach. Using VBA and further development on web application. And Risk Measures: Expected ShortFall and VaR.

• Valuation of Stochastic CVA, DVA and FFVA model for audit works. R and Matlab.

• Pricing and Valuation of Exotics and non vanilla derivatives. R and Matlab.

• Tool development of Asset Allocation, subject to non standard constraints.

• Big data metodology for preclassified and preapproval credits, with clients and non clients. R and Python.

• Preamortization Modeling. R and VBA

• FRTB on IFRS9 implications.


• Tool development of Asset Allocation subject to capital requirements. VBA and R implementation Tool Development of Invesment portfolio to Assurance. Both further developments on web application.

Energy market:

• Development of time series forecasting tool. Prices predicting using the Chaos theory and implementing on R and C++.

• Risk measures: VaR calculations.

• Every tool is made looking for the final version as user friendly as posible. Sep.15-Jul.16 Quant-Consultant at Indra Business Consulting: Development of Big Data methodology for credit pre-classification and pre-approval. Market Risk:

Fundamental Review of Trading Book .(FRTB). Implementation and development, on my own initiative, of a calculator in VBA, to calculate the Delta, Vega and Curvature requirements from the Standard Model Approach, searching to automatize the operation as much as possible for the analyst, who must simply introduce the portfolio with minimal parameters for each instrument and thereupon will obtain the capital requirements and impacts. Current state of development: FX Product Type: forward, options, swaps completed. Load Test. Next step Credit Portfolio. In the medium term supervise future application in a professional development environment: Java, Python, etc.

Energy Market:

Study of the dynamics of the electricity market in Spain, with its regulatory peculiarities, jumps, cycles, etc., valuation and pricing of derivatives related to electricity, design and optimization of a calendar for the coverage of demand exceeding what is expected, indicating the type of contract and timeframes, searching for neutral delta and gamma, by electricity utility entity in the market.

Jan.14-Jul.15 CIB: Corporate and Investment Banking, BBVA: Implementing portfolio valuation models and rating sensitivity, Cluster Analysis, studies of non-symmetrical graphs of large companies’ ratings. Time-Series analysis using R and searching for behavioural patterns. Modelling and portfolio.

1) Credit Quality Rating Models

a) Credit Risk evaluation process and quantification of probability of default. Support in the study and automatic replication of internal rating models for large companies, construction of an information -> decisions -> rating flow chart. b) Approximation of the flow chart with logical and analytical functions and translation into a programme.

c) Mass simulation of rating of a portfolio of companies. Study of sensitivities and statistical analysis of the results using both classical methods and Machine Learning techniques.

2) Portfolio valuation models

a) Study of valuation models for different financial operations and products in a portfolio: critical analysis

b) Support to the reprogramming of the portfolio calculation engine valuation libraries. Sep.14-Present QuantTrader: Advisor in risk capital management through quantitative and algorithmic trading, development of models in VBA, Matlab and application in Prorealtime or Metatrader. Dec.13-Aug.14 Internship at Endesa. Implementation of structural calculations, elaboration of emergency plans for dams and optimization of reservoirs.

2013-July Collaboration Scholarship at the Teaching Unit for the end of degree project at the Civil Engineering School (UPM). Elaboration of catalogues of building materials. Jan.14-May.14 Trader: Advisor in risk capital management on a discretionary basis. 2014-April Collaboration Scholarship at the Railway Teaching Unit at the Civil Engineering School (UPM). Development of an application for the calculation of railway flexion. 2013-October Research Fellowship at the Civil engineering School (UPM) on finite elements for the optimization of general electricity system cover plates. 2012-2013 Research Fellowship at the Civil engineering School (UPM) in collaboration with CEDEX

(Ministry of Public Works and Transport). Reinforced concrete with steel and plastics fibres. Complementary Qualifications

Sep.2015 International Markets at the London School of Economics and Political Science: 50 hours Jun.2015 BBVA Courses: FX Option Trading, Interest Rate Volatility, Bond Strategies-Fundamentals, Equity Program Trading, Portfolio Theory-Arbitrage Pricing Theory (ATP), 40 hours Sep.2013 The Olek Zienkiewicz Course (ALERT Summer School), Leopold-Franzens Universität Innsbruck. Pre-PhD course. Modelling with finite elements, of floor mechanics phenomena, 60 hours

05.Apr.2012 Banking and Finance Courses at FEEC (Foro Económico-Empresarial Caminos), 10 hours 12.Dec.2012 Stock Exchanges Course at FEEC (Foro Económico-Empresarial Caminos), 5 hours Complementary Information

May.13 Finalist, Urbanism and Planning Competition, Civil Engineering School (UPM) Fundación Villar Mir. Prize for most original design.

May.13 Participant in the Artefact Creation Competition, Fundación Villar Mir: Creation of a thermic motor.

Mar.13 Semi-finalist, Civil Engineering Debate organized by the Fundación Villar Mir. Oct.08 Champion, MEXMUN Debate (México Model United Nations). Scholarship awarded by the Instituto Tecnológico de Monterrey (TEC) in Distrito Federal and representing Colegio SEK- Ciudalcampo de Madrid

Languages and IT

Spanish: Native.

English C1: Advanced level. Trinity Grade 10 at English Connection 2012. Programming in C++, Java, R, Matlab, Python, VBA. Intermediate level. DDBB: SQL. User Level.

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