Seminar on Financial Risks Management in Central Banking
Madrid, Spain, May 6–10, 2019
The Center for Latin American Monetary Studies (CEMLA) and the Banco de España (BdeE) jointly carried out the Seminar on Financial Risks Management in Central Banking, the event took place in Madrid, Spain from May 6-10, 2019.
The event was successful, as it attracted a great diversity of countries (13 countries) and the participation of 18 officials from central banks of: Argentina, Bolivia, Chile, Colombia, Costa Rica, Ecuador, El Salvador, Guatemala, Honduras, Mexico, Nicaragua, Paraguay and Peru.
The opening ceremony was in charge of Margarita Delgado Tejero, Deputy Governor of the Banco de España, the Seminar was introduced by Serafín Martínez Jaramillo, Adviser to CEMLA, while Christiane Irache, Head of the International Cooperation Unit and Luis González Mosquera, Director of the Financial Risk Department did it on behalf on the Banco de España.
Opening session: Risks management in central banks
Margarita Delgado Tejero, Deputy Governor, Banco de España
Introduction to the Seminar
Serafín Martínez Jaramillo, Advisor, CEMLA 
Christiane Iriache Bernat, Responsible, International Cooperation Unit, Banco de España
Luis González Mosquera, Director, Risk Management Department, Banco de España
Financial risk management in the Banco de España
Luis González Mosquera, Director, Risk Management Department, Banco de España
Panel risk management process in central banks: experiences and challenges
Chairperson: Antonio Marcelo Antuña, Head, Business Evaluation and Risk Measurement Division, Banco de España
Francisco Chamú Morales, Director, Risk Management, Banco de México
Christian Ferrada Krause, Manager, Corporate Risk, Banco Central de Chile
Pablo Villa Michel, Director, Integral Risk Management Department, Banco Central de Costa Rica
Credit risk management for the international reserves’ portfolio at Banco de México
Antonieta Campa Rojas, Project Manager and Risk Analysis, Banco de México
Asset management process at Banco de España
Emilio Rodríguez Alfonso, Head, Asset Management Division, Banco de España
Risk management framework in the investment portfolio of the Banco de España
Antonio Marcelo Antuña, Head, Business Evaluation and Risk Measurement Division, Banco de España
Panel strategic assets allocation: central banks experiences
Chairperson: Mario Bajo Traver, Responsible, Risk Measurement Unit, Banco de España
Antonieta Campa Rojas, Project Manager and Risk Analysis, Banco de México Ilona Scerbak, Specialist, Risk Measurement Unit, Banco de España
Carlos Antonio Cano Córdova, Project Manager, International Reserves, Banco Central de Reserva del Perú
Distribution of currencies in investment portfolios and their impact on the balance of central banks.
Carlos González Pedras, Specialist, Risk Measurement Unit, Banco de España
Results allocation in bond portfolios: a bottom-up approach
Mario Bajo Traver, Responsible, Risk Measurement Unit, Banco de España
Risk appetite in the ECB: from theory to practice
Fernando Monar Lara, Head, Risk Analysis Division, European Central Bank
Risk management in Eurosystem monetary policy lending – a long-term perspective
Carlos María Bernadell Victoria, Director of Risks, European Central Bank
Non-conventional monetary policy measures: Risk management in the Eurosystem’s assets purchase program
Antonio Ruiz Gutiérrez, Head, Risk Policies Division, Banco de España
Antonio Muñoz Hurtado, Responsible, Risk Policies Unit, Banco de España
Monetary policy in the region
Leonardo Avendaño, Head, Monetary Program Group, Domestic Market Management, Banco Central de Chile
Role of loans in the Eurosystem risk management framework
Sergio Gavilá Alcalá, Responsible, Rating Methodologies Unit, Banco de España
Introduction to the Banco de España internal rating system (ICAS BdeE)
Antonio Marcelo Antuña, Head, Business Assessment and Risk Measurement Division, Banco de España
Organization and functions ICAS BdeE
Alfredo Maldonado García-Verdugo, Responsible, Business Assessment Unit, Banco de España
Statistical models of credit rating on non-financial corporations
Rafael Vivó García, Specialist, Rating Methodologies Unit, Banco de España
Credit analysis process: case study
Consuelo Moraleja Jorge, Specialist, Business Assessment Unit, Banco de España
Internal validation process in ICAS BdeE
Arturo Macías Fernández, Responsible, Validation and Follow up Unit, Banco de España
Portfolio management system – Managed Access Points (MAPS) service
Khalid Atitar de la Fuente, Responsible, MAPS Unit, Banco de España
Eurosystem valuation system of financial assets - CPEH
Arturo Macías Fernández, Responsible, Validation and Follow up Unit, Banco de España
Information system of financial risks – Risk Assessment Report (RAR)
Adolfo del Arco Praena, Computer, Financial Risk Department, Banco de España
Áurea Gil Jiménez, Specialist, Risk Measurement Unit, Banco de España
Fintech, Cryptoassests and Blockchain and its potential impact on central banks risks
Serafín Martínez Jaramillo, Advisor, CEMLA
Seminar’s assessment and closing
Luis González Mosquera, Director, Risk Management Department, Banco de España
Serafín Martínez Jaramillo, Advisor, CEMLA
For over several years, CEMLA and Banco de España, with support from the Association of Banking Supervisors of the Americas (ASBA), organize annually training activities and discussions for developing and strengthening the accounting regulatory framework in the region’s financial systems.
In response to changes in the accounting best practices and international standards, the Banco de España and CEMLA launched a Program of Technical Assistance (PAT) on activities for Strengthening the Accounting Regulatory Framework towards complementing their annual activities with technical assistance for central banks and other financial authorities in the region responsible for accounting regulation. The Program seeks to provide tailored technical assistance on aspects related to the development, improvement or reform of the accounting regulatory framework applied to central banks and to financial systems.
The Conference was organized under the umbrella of the PAT, and to serve as forum for the exchange of experiences and knowledge on financial and accounting issues that central banks and financial regulators face to modernize and enhance their accounting regulatory frameworks.
Serafin Martinez-Jaramillo is a senior financial researcher at the Financial Stability General Directorate at Banco de México and currently he is an adviser at the CEMLA. His research interests include: financial stability, systemic risk, financial networks, bankruptcy prediction, genetic programming, multiplex networks and machine learning. Serafin has published book chapters, encyclopedia entries and papers in several journals like IEEE Transactions on Evolutionary Computation, Journal of Financial Stability, Neurocomputing, Journal of Economic Dynamics and Control, Computational Management Science, Journal of Network Theory in Finance and some more. Additionally, he has co-edited two books and two special issues at the Journal of Financial Stability. Serafin holds a PhD in Computational Finance from the University of Essex, UK and he is member of the editorial board of the Journal of Financial Stability, the Journal of Network Theory in Finance and the Latin American Journal of Central Banking.
Luis González-Mosquera he holds a Bachelor’s degree in Economics and Business Sciences from the Universidad de Oviedo and a Master's degree in Monetary and Financial Economics from the Centro de Estudios Monetarios y Financieros (CEMFI). In 1990 he joined the Banco de España as an Economist in the General Directorate of Supervision, working in areas related to financial analysis and risk management and where, among other responsibilities, he was head of the Credit Risk Models and Operational responsible for reviewing the internal models of credit institutions for the calculation of their capital requirements. Since 2014, he is the Director of the Financial Risks Department within the General Directorate of Operations, Markets and Payment Systems, which is the area responsible for the identification, measurement, monitoring and control of financial risks arising from the implementation of the monetary policy and the management of the financial assets of the Bank of Spain. He has been a representative of the Banco de España in different groups of the Basel Committee on Banking Supervision and the European Banking Authority. He is currently a member of the Eurosystem Risk Committee.
Francisco Chamú Morales, is Director of Risk Management at Banco de México, where he directs the development and application of methodologies for the evaluation of risks in the execution of the processes in charge of the Banco de México. He has 20 years of experience in central banking, highlighting the evaluation of financial risks in the administration of international assets and in financing operations, the evaluation of operational risks, as well as technical advice on risk for various institutional projects. Francisco is an Actuary graduated from the Instituto Tecnológico Autónomo de México (ITAM) and obtained the master's and doctorate degrees in statistics from the University of North Carolina at Chapel Hill, specializing in volatility and extreme value models for time series.
Christian Ferrada Krause is a Senior Economist at the Banco Central de Chile. His areas of interest are macroeconomics, finance and econometrics. He has worked as a part-time professor at the School of Economics and Business of the University of Chile; he has also participated as a consultant with the World Bank and the International Labor Office. He holds a Ph.D. in Economics from the University of Chicago and a Master's degree in Applied Economics from the University of Chile.
Antonio Marcelo Antuña is Head of the Division of Business Evaluation and Risk Measurement in the Financial Risk Department of the Banco de España, a position he has held since 2014 to manage the internal credit assessment system for companies and the management of financial risks of the portfolios of foreign reserves. He previously worked in the General Supervision Department of the Banco de España, as a supervisor of internal credit rating models (ICRM), and in 2012 he joined the European Banking Authority (EBA) as an expert in banking regulation. Antonio holds a degree in Economics from the Universidad Carlos III of Madrid and a Masters in Economics and Finance from the Centro de Estudios Monetarios y Financieros de Madrid (CEMFI).
Pablo Villa Michel, is the Director of Integral Risk Management of the Banco Central de Costa Rica since 2014 and is responsible for the implementation of the institutional project of Integral Risk Management. He has promoted improvements to the Bank's risk management policies and processes and developed the internal risk management certification course. He has extensive local and international experience in the financial industry and risk management. Graduated from the Masters in Financial Economics and Applied Macroeconomics of the Pontificia Universidad Católica de Chiel, internationally certified by several institutions in financial and operational risk management, as well as graduated as a specialist in data sciences. He has experience as a professor and researcher in economics and finance.
Antonieta Campa Rojas is a Mathematician graduated from the Universidad Nacional Autónoma de México (UNAM), and holds a Master degree in Mathematics for Financial Instruments from the Universidad Autónoma de Barcelona. He has 15 years of experience in risk management, many of which have been devoted to the evaluation and monitoring of market, credit and liquidity risks related to the investment of the International Reserve. Currently, she is Project Manager and Risk Analyst at Banco de México, where she deals with the approach and application of technically sound methodologies to manage both financial and non-financial risks of the institution, related to his activities in the national and international market.
Emilio Rodríguez he is the Head of the Asset Management Division, in the Operations Department of the Banco de España. He leads a team devoted to the management of assets’ portfolios denominated in euros and foreign reserves and is also in charge of the implementation of the Eurosystem's asset purchase programs. Bachelor’s in Economics from the Universidad Complutense de Madrid and Master in Economics and Markets from the Universidad Carlos III of Madrid. He joined the Banco de España in 2005 as a portfolio manager, after a career in the private sector, with different responsibilities in the financial and capital market areas in banks and non-financial companies. He has published several articles in financial journals and is co-author of a book on the active management of fixed income portfolios.
Mario Bajo Traver holds a Bachelor’s degree in Economics and Business Administration from the Universidad Autónoma de Madrid, MSc from the London School of Economics and a Master Degree in Financial Risk Management from the BME Institute. He has developed his professional career as a professor of economics and financial analyst, full time discretionary management of portfolios, having held positions of responsibility in the area of private banking within the financial sector. After joining the Banco de España in 2007 within the Asset Management Division, he is currently the Head of the Risk Measurement Unit in the Financial Risks Department.
Ilona Scerbak holds a Bachelor’s degree in Econometrics from the University of Vilnius, a Master degree in Quantitative Finance from AFI and is certified as a Financial Risk Manager by GARP FRM. She has developed her professional career as a quantitative analyst in the field of consulting and banking (Banco Santander) having worked in the validation projects of market risk models and economic capital among others. Finally, she has been coordinating a technical profile team. She joined the Banco de España in November 2018 as Financial Risk Specialist.
Carlos Antonio Cano Córdova holds a Bachelor's Degree in Industrial Engineering from the Universidad de Lima and a Master degree in Business Administration (MBA) with a specialization in Investment and Financial Analysis from Cornell University. It also holds the international Chartered Financial Analyst (CFA) and Certificate in Investment Performance Measurement (CIPM) certifications from the CFA Institute, Financial Risk Manager (FRM) of the Global Association of Risk Professionals (GARP), and Certificate in Quantitative Finance (CQF) of the CQF Institute. Since joining the Banco Central de Reserva del Perú (BCRP) in 2009, he has been responsible for the research, design and implementation of the strategic allocation of assets and the structuring of investment guidelines for internal and external portfolios. He is currently in charge of leading the development of strategic projects for the Management of International Operations of the BCRP.
Carlos González Pedraz is an expert in the General Operations Department of the Banco de España. Previously, he held various positions in trading companies for energy commodities and proprietary trading, and in banking. He has also been visiting Lecturer in the Mathematics Department of the University College of London, and assistant Professor of Financial Economics at the Universidad Carlos III. His papers have been published in several international journals such as Quantitative Finance and Energy Economics. He has a Bachelor’s degree in Physics from the Universidad Autónoma de Madrid and a PhD in Finance and Quantitative Methods from the Universidad Carlos III.
Fernando Monar-Lora has a Bachelor’s degree in Economics, a MBA and a CFA. He joined the community of central bankers in 2003, when he began working in the Asset Management Division of the Operations Department of the Banco de España. In 2007, he moved to the Risk Management Department of the European Central Bank, where he has assumed different responsibilities. As a staff of the Banco de España and the European Central Bank, Fernando has worked: (i) on operational risk management and support in the investment decision-making process, (ii) on the development and application of frameworks of control of financial risks and the allocation of assets for different portfolios, (iii) in the analysis of the financial risks of the ECB and the Eurosystem, (iv) in the coordination of the risk modeling agenda, and (v) contributing to the preparation of key strategic dossiers for the ECB, such as the evaluation of unconventional measures of monetary policy. Currently, Fernando Monar-Lora leads the Risk Analysis Division of the ECB, in charge of identification tasks, analysis, operational control and risk reporting for all operations of the central bank (monetary policy, management of investment reserves and investment) as well as the tasks of strategic asset allocation for the investment and reserve portfolios.
Carlos Bernadell holds a Bachelor´s degree in Economics from the Universidad Central de Barcelona, postgraduate in banking management and econometrics. He is also a Chartered Accountant. After having held various positions of responsibility in Coopers & Lybrand and Caixabank, in areas related to risk management, M & A, financial audit and corporate finance, Carlos Bernadell joined the European Monetary Institute in 1997 and was subsequently appointed responsible for the management of risks in the European Central Bank, where he is currently Director and Chairman of the Eurosystem Risk Committee. Carlos also worked for three years in countries of the Persian Gulf, where he implemented risk management systems for sovereign wealth funds.
Antonio Ruíz Gutiérrez has a background of legal education, after a brief period in private banking Antonio Ruiz has developed his career in the Banco de España, among the Legal, Operations and Financial Risk Departments, where he currently serves as the head of the Division of Risk and Validation Policy. Since 2013 he is a member of the Risk Management Committee of the European Central Bank.
Antonio Muñoz Hurtado, joined the Banco de España in 1995 in the Operations Department where he worked for 18 years as an operator, first in the Monetary Policy Board and then in the Asset Management Room, including one last period in the area of Middle Office. Later he worked at the Financial Risk Department, where he currently holds the position of Head of the Risk Policies Unit.
Leonardo Avendaño Herrera, is Head of the Monetary Programming Group of the Open Market Operations Department of the National Markets Management. The Monetary Programming group has the function of planning and executing Open Market Operations in the local market and government operations as Fiscal Agent. Leonardo has worked at the Banco Central de Chile for two periods: the first between 2009 and 2011 as a Trader in the Open Market Operations Department. The second period from 2017 to date in charge of the Monetary Programming team. Between 2011 and 2017 Leonardo worked at the Banco del Estado de Chile as Senior Trader and then as Chief of the Board in charge of short and long-term financing, managing the liquidity and interest rate risks.
Sergio Gavilá Alcalá holds a Bachelor’s degree in Economics from the Universidad de Valencia and a Master's Degree in Economics and Finance from the Centro de Estudios Monetarios y Financieros de Madrid (CEMFI). Professional with more than 15 years of experience in measurement and management of credit risk. From 2003 to 2014, his has worked in the General Directorate of Supervision, participating mainly in the supervisory validation of advanced models of credit risk and in the stress-test exercises of the European Banking Association (EBA). In 2015, he joined the Financial Risks Department as Head of the Rating Methodologies Unit.
Alfredo Maldonado García-Verdugo holds a Bachelor’s degree in Economics and Business Administration from the Universidad Pontificia de Comillas (ICADE)), a Diploma in Advanced Studies from the Universidad Nacional de Educación a Distancia (UNED) and an Executive MBA from the Instituto de Empresa (Madrid). Professional with more than 20 years of experience in finance, management control, investment analysis and corporate development (M & A) he has held various positions of responsibility in the private sector. After joining the Banco de España in 2012 within the General Directorate of Economy and Statistics, he is currently the Head of the Business Evaluation Unit.
Rafael Vivó García, has a Bachelor's degree in Economics from the Universidad de Valencia, an Official Master's degree in Banking and Quantitative, awarded by the Universidad Complutense de Madrid, la Universidad del País Vasco y la Universidad de Valencia, and Financial Risk Manager Certification awarded by GARP. Professional experience of 10 years in the field of credit risk, performing the work as Financial Risk Technician in the Corporate Risk Methodology Department of BBVA and, currently since 2015, works as a financial risk specialist in the Financial Risk Department of the Banco de España.
Consuelo Moraleja Jorge, she holds a Bachelor’s degree in Business Administration and Management from UC3M, joined the Banco de España in 1999 as a technician assigned to General Intervention. In 2001 she joined the Business Evaluation Unit in the General Directorate of Operations, Markets and Payment Systems, where she has worked up to day. In 2015, she was appointed as specialist in Business Evaluation.
Arturo Macías Fernández holds a Bachelor’s a degree in Mathematical Sciences from the Universidad Complutense de Madrid and a Master's Degree in Economics and Finance from CEMFI. After working for two years as a Research Assistant in the BIS, he joined the Banco de España in 2005, where he worked as a Balance of Payments Analyst in the Studies Service, and later in the Group of Credit and Operational Risk Models in the General Directorate of Supervision. Since 2014 he is the Head of the Validation and Monitoring Unit in the Financial Risk Department.
Khalid Atitat de la Fuente holds a Bachelor’s degree in Computer Engineering from the Universidad Autónoma de Madrid. After more than ten years of professional career in specialized consulting in Capital Markets, he joined the Banco de España in 2010 as an expert in functional coordination in the Operations Department. Currently, he is responsible for the MAPS Unit in charge of the portfolio management system.
Cristina Figaredo Sanjuán. Holds a Bachelor’s degree in Law and Business Administration and Management from the Universidad Pontificia de Comillas. She joined the Banco de España in 2014 as a technician in the Operations Department where she worked for one year in monetary policy issues. Since 2015 she has worked in MAPS in the areas of Front Office and Financial Risks.
Adolfo Benito del Arco Praena, is an expert in Information Technology, holds a Bachelor’s degree in Computer Science from the School of Informatics of the Facultad de Informática de la Universidad Politécnica de Madrid and a Master degree in Business Administration in the Digital Economy. He has worked in both the private and public sectors within the sectors of Banking, Insurance, Education and Information Technology. He joined the Banco de España in 2005 as an IT Auditor in the General Directorate of Supervision, supervising large banking groups, such as Santander and BBVA. In 2015, he joined the Department of Financial Risks to collaborate in the design and development of the Department's database, as well as performing tasks of user support, development and maintenance of the Business Evaluation tool, and management of the data and processes necessary to carry out the functions of the Department.
Áurea Gil Jiménez has a Bachelor’s degree in Mathematics and Computer Engineering from the Universidad Autónoma de Madrid. She adds to her capacities a Master degree in Quantitative Finance (AFI) and a Specialization Course in Treasury (IEB). She has developed her professional career in projects related to the valuation of financial products, market and credit risk and creation of computer tools for a greater traceability of processes. Before joining the Banco de España in 2015, she had worked in financial institutions such as Banesto and Banco Popular. She is currently a specialist in the Risk Measurement Unit.