Julián Panero

- Derivatives Valuation using Open Source Risk Engine (ORE), Quantlib and Numerix - xVA and AVA calculation methodology supervision - Fair Value Hierarchy and Leveling supervision - Audit of Machine Learning models for fraud detection - Audit of exposure models for Counterparty Credit Risk

- Full automation of validation process for VaR and SVaR using Python - Full automation of comparison process for RTPL and HTPL using Python - Risk not in the Model (Z-Spread) calculation and visualisation with Atoti (Python BI tool) - Implementation of Full Revaluation method in Murex 3: + Shocks generation for interest and fx rates and their volatility using Python + Interpolation of interest rate curves using Pyhton + Use of MRB module in Murex 3 to validate and correct its configuration

Remote / Weekends - Data extraction (Scrapy, Selenium, BeautifulSoup, Requests) - Data manipulation (Numpy, Pandas) - Numerical methods and Statistics (Scipy, Statsmodels) - Machine Learning (Scikit-Learn, LightGBM, XGboost, Catboost) - Deep Learning (TensorFlow, Keras) - Data Visualization (Matplotlib, Seaborn, Plotly, Atoti, Tableau)

First academic year. As part of the training in Management Solutions. - Financial Products and Derivatives - Valuation - Market Risk - Credit Risk - Macroeconomics - Accounting

Major in Applied Physics