Publications

We propose a Bayesian nonparametric mixture model that jointly models mixed scale data and accommodates for the different sampling …

This paper reviews the positive aspects as well as the negative aspects of interconnectedness. It also discusses briefly the important …

We are able to identify the most important institutions in the whole structure in term of their connectedness, the most relevant layer …

Talks, Conferences & Academic Events

A probabilistic model for longitudinal network data, with application to interbank transactions.

Professional experience

 
 
 
 
 

Data Science Researcher

FNA

Aug 2018 – Present London, UK
Responsibilities include:

  • Network modelling
 
 
 
 
 

Senior Financial Researcher

Central Bank of Mexico

Jan 2016 – Sep 2016 Mexico City, Mexico
I lead the team in charge of developing statistical and financial models to manage the Central bank’s financial risk (Including the International Reserve portfolio of over $160 billion dollars). Some interesting projects include:

  • Development of a methodology to perform portfolio stress-testing using the conditional distribution of returns in financial instruments.
  • Portfolio optimization of the Int’l reserve, using different techniques for asset allocation.
  • Analysis of credit profile for Banxico’s commercial bank counterparts.
  • Technical council and valuation of Banxico’s private pension plan for employees.
  • Formulation and design of requirements for a new information system to manage the International Reserve Portfolio valuation and risk measurement