World Federation of Exchanges
Pedro joined the World Federation of Exchanges in October 2019 from the Bank of England, where he led a research team at the Financial Market Infrastructures Directorate. He had joined the Bank of England in 2013, after two years at the UK Financial Services Authority. Previously, Pedro spent more than 15 years lecturing and doing research at different academic institutions, including the University of Barcelona and the Instituto Tecnológico Autónomo de México (ITAM).
Pedro holds a PhD in Mathematics from the University of Montpellier, France, and has published across key academic journals, including Ledger, The Journal of Financial Market Infrastructures, The Journal of Risk, International Finance, and the Journal of Futures Markets. His recent work includes research on CCPs’ initial margin models, on the economics of distributed ledger technologies (DLT), and on the network structure of settlement fails. He has also published research on payment systems, back-testing methodologies, and on the structure of interest rate futures markets. In 2007 he received the National Award on Derivatives Research, awarded by the Mexican Derivatives Exchange (MexDer).
In this paper the author argues that the focus on initial margin models is misplaced, and the reasons for this are illustrated by empirically testing the performance of standard initial margin models during the March 2020 events.
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.