Luis Vicente has more than 20 years’ experience in financial markets, of which 15 years were dedicated to central counterparty (CCP) risk management. Mr. Vicente was Deputy Chairman of the Management Board and Managing Director of Risk Management of NCC Clearing Bank (Moscow Exchange Group) from 2013 until 2016. Prior to that Mr. Vicente spent 12 years at BM&FBovespa, of which 5 years were as Executive Director of Risk Management and 2 years as Executive Director of Risk Management Systems. Mr. Vicente was also a member of the Executive Committee of CCP12 (Global Association of Central Counterparties) from 2010 until 2013 and acted as a consultant to the International Monetary Fund (2006). His main areas of expertise are: financial market infrastructures, risk management, quantitative finance, on-exchange and OTC markets, payment systems, collateral management and financial regulation. Mr. Vicente holds a MSc. in Finance from Imperial College, UK, and a BSc. in Mathematics and Computer Science from Universidade do Estado do Rio de Janeiro, Brazil.
Estimating “hedge and auction” liquidation costs in central counterparties: a closeout risk approach
This paper shows how the closeout risk framework can be extended to realistically represent and simulate the potential outcomes of “hedge and auction” default management policies currently implemented by several major central counterparties.