Bank of England
Pedro leads a research team at the Bank of England’s Financial Market Infrastructure Directorate. His current research interests focus on risk modelling in clearing and payment systems and on the economic implications of technological innovation in securities settlement. He has published in various academic journals, including the Journal of Futures Markets, International Finance, the Journal of Financial Market Infrastructures and the Journal of Risk. After completing a PhD in Mathematics from the University of Montpellier, Pedro worked as a lecturer and researcher at universities in Spain, Mexico and the UK. He joined the UK FSA in 2011, working as a technical specialist in the CCP supervision team, before moving to the Bank of England in 2013.
In this paper, the authors examine the problem of validating and calibrating FHS VaR models, focussing in particular on the Hull and White (1998) approach with EWMA volatility estimates, given its extended use in the industry.
The authors conduct a head-to-head comparison of central and bilateral clearing to evaluate the impact of market structure on market stability.
This paper discusses the different approaches to incorporating market liquidity risk within a CCP’s default waterfall and the challenges that these approaches pose.