Arturo holds a PhD in applied mechanics from the California Institute of Technology (Caltech); an MBA in finance from New York University; and an engineering degree from the University of Chile. Currently, he divides his time between New York and Chile. In Chile, he is a Research Associate at Clapes-UC, a public policy center affiliated with the Catholic University (PUC). He also advises the Chilean Association of Insurance Companies, a Chile-based family office, and a US-based alternative (structured products) investment fund; and sits on the board of Adolfo Ibanez University. He has taught at the Business School of Columbia University in New York and at the University of Chile in Santiago. (See www.arturocifuentes.com).
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
This paper borrows concepts from measurement, test and psychometric theories to explore the issue of credit ratings in the Mexican corporate bond market.
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.