Professional Experience

Ministry of Finance and Public Credit, Mexico City (November 2013 - July 2016)

Deputy Director Risk Management

Coordinate Risk Management strategies to mitigate financial volatility in the federal government liability portfolio.

    • Collaborated in the strategic design of the Mexican Oil Hedging Program. The program is based in the acquisition of options for about 250 million barrels; the objective of the program is to insure government oil revenues against a drop in oil prices.

    • Edited the weekly research piece devoted to oil financial markets.

    • Participated in the implementation of an active strategy of liability hedging. The last operation involved hedging two yen denominated bonds with a notional of 80 billion yen and 4 year maturity through a syndicated cross currency swap.

    • Monitored the financial terms of new loans with IADB and World Bank along with risk mitigation strategies associated with such loans. I have been involved in the acquisition of 5 billion dollars in loans and swap operations for 3.5 billion dollars.

    • Developed a portfolio optimization tool based on the Markowitz portfolio theory and a GARCH covariance structure.

    • Collaborated in several liability management transactions; the most relevant involved the issuance of two dollar bonds with a repurchase option to 5 existing bonds, the transaction totaled 4 billion dollars.

    • Overseen FX forward operations associated with new issuances; the last operation involved selling 25 billion yen.

Ministry of Finance and Public Credit, Mexico City (November 2011 - November 2013)

Risk Management Analyst

    • Engineered several models to forecast the dynamics of oil prices with the purpose of computing the prices of exotic options (non-parametric, autoregressive, fat-tailed).

    • Designed a risk exposure calculation based on a parallel simulation of the term structure of interest rates of two different currencies.

    • Built a system for the mark-to-market calculation of the swap portfolio.

    • Investigated diverse internal topics such as long term risk measurement (the recommendations stemming from the research were implemented in pension fund regulations), the Mexican term structure of interest rates, central bank interventions, the federal government catastrophe bond, etc.

Paasel (Business Analytics Startup), Mexico City (August 2010 - May 2011)

    • Constructed two geographic information systems for Cinépolis (a chain of movie theaters) and Martí (the main retailer of sports related products). The objective of the system was to deliver sales forecasts based on geographical position, considering competition and socioeconomic variables of the region.