Daniel Arrieta

Banco Santander

Daniel Arrieta is Senior Model Validation Quant at Santander and Associate professor at Universidad Complutense de Madrid (UCM). At Santander Daniel validates XVA Front Office models and as researcher he is focused in pricing models and model risk quantification. Daniel holds a PhD in Mathematical Finance from Universidad Complutense de Madrid, a MSc in Advanced Mathematics from U.N.E.D. and a MSc in Quantitative Finance from Escuela de Finanzas Aplicadas.

Articles by Daniel Arrieta

Original research

Model risk quantification based on relative entropy

This paper proposes a minimum relative entropy technique for challenging derivatives pricing models that can also assess the model risk of a target portfolio.

31 Aug 2022

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