Alvaro Chamizo Cana

Risk Solutions Principal Manager at BBVA

Speaker

Risk Manager with 20 years of experience within BBVA Group. Current position: Global Product Owner for Next Generation Analytics Program.

Special skills: multidisciplinary risk manager with a long experience in fields such as: asset allocation, pricing, credit exposure limit, RAROC, concentration risk, economic capital, portfolio management.

In December 2015, he received his PhD from the PhD Program in Quantitative Finance and Economics at the Complutense University with the thesis "Risk Premium in the Global Credit Markets:2006-2012. He is also a part-time professor in Credit Risk at Icade University. He is the author of the following international publications:

“Evaluation of Market Risk Associated with Hedging a Credit Derivative Portfolio”. Mar/21. Quarterly Review of Economics and Finance

“Looking through systemic credit risk: determinants, stress testing and market value”. Jan/20. Journal of International Financial Markets, Institutions & Money

“Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components”. Aug/2019. Journal of Risk and Financial Management

“Forward-Looking Asset Correlations in the Estimation of Economic Capital”. Jul/19. Journal of International Financial Markets, Institutions & Money

“Credit Risk Decomposition for Asset Allocation”. May/16. The Capco Institute Journal of Financial Transformation