Gabriel Foix

Berufserfahrung von Gabriel Foix

• Bis heute 13 Jahre und 10 Monate, seit Sep. 2010

  Risk Manager

  Bank of Valencia

  - Calculating periodically capital requirements set out under Basel II framework. - Review each bank process in order to enhance the risk measurements and capital ratios.

• 4 Jahre und 5 Monate, Mai 2006 - Sep. 2010

  Quantitative Analyst

  Bank of Valencia

  - Set up the whole framework for LGD, PD and CCF from scratch. That is, design the database, ensure the data quality, draw a methodology for each parameter, implement it in R, and finally, calculate and check the outputs. - Apply “Credit Risk + methodology” so as to calculate the Bank’s Economic Capital threshold using the parameters outcomes as an input.

• 11 Monate, Juli 2005 - Mai 2006

  Junior Quantitative Consultant

  Consultora de Riesgos Financieros S.A.

  - Daily VaR of some customer's portfolio. - Programming new methods to improve the valuation of fixed income.