whoami
Fernando Ruiz
Quantitative Finance  |  Asset Allocation  |  Sustainability  |  Data Projects

A personal space for tools, models, and ideas exploring the intersection of quantitative finance, climate economics, machine learning, artificial intelligence and music.

PCAF / PACTA Markowitz Black-Litterman Factor Investing Python CAIA Vinyl Collection
ls projects/ send message
fernando_ruiz ~ $
$ cat profile.json
role: "ESG Portfolio Expertº"
employer: "Santander CIB"
prev: ["BBVA AM", "Afi"]
location: "Madrid, ES"
$ ls expertise/
pcaf/ pacta/
markowitz/ black-litterman/
factor-models/ bvar/
$ cat interests.txt
quant finance · esg · climate econ
+ vinyl records · jazz · rock
$
01

About

I'm a Quantitative Financial Economist with over 20 years of experience working at the intersection of quantitative finance and sustainability. I currently lead Portfolio Alignment at Santander Corporate & Investment Banking (SCIB).

This site brings together my personal research, tools, and ideas in quantitative asset allocation, factor investing, and sustainable finance, as well as applied work in Python, machine learning, AI and data projects.

Previously at BBVA Asset Management and Afi. Based in Madrid.

ESG & Climate
PCAF PACTA NZBA Basel ITR Carbon intensity
Quantitative Methods
Markowitz MVO Black-Litterman Factor models Regime detection Robust covariance Backtesting
Tools & Stack
Python pandas / numpy scikit-learn React Excel / VBA Bloomberg
02

Projects

quant active
Asset Allocation Tool
Interactive Streamlit app for portfolio construction. MVO, efficient frontier, stress-testing under macro scenarios. Built with pandas, scipy, plotly.

Note: currently in Spanish, under active development.
Python Streamlit MVO Asset allocation
2017— open ↗
macro wip
BVAR Macro Model
Bayesian VAR model for macro forecasting. Jointly estimates GDP growth, inflation, interest rates, and credit spreads using Minnesota priors. Produces conditional forecasts for asset allocation.
Python BVAR Bayesian Macro forecasting
2025— in progress
esg active
DICE Model Implementation
Python implementation of Nordhaus's Dynamic Integrated Climate-Economy model. Couples neoclassical growth with a climate system, solving for the optimal carbon price that maximises discounted social welfare. Accompanied by a presentation covering GHG emissions, climate sensitivity, tipping points, the Kaya identity, and the full DICE equations.
Python Streamlit DICE Climate economics Nordhaus
2024
esg wip
Climate Credit Stress Test
A Python-based climate risk simulation engine designed to translate NGFS climate scenarios into forward-looking impacts on banking loan portfolios. Built with the help from Claude.
Python Streamlit NGFS Climate risk Credit risk
2026— app ↗
personal active
Vinyl Archive
A personal catalogue of 150+ vinyl records. Photo-based AI identification, MusicBrainz metadata, tracklist by side. Built with React, Supabase, and the Anthropic API. Implemented with the help of Claude - I'm not an expert on React
React Supabase Claude API MusicBrainz
2026— open ↗
03

Teaching material & research notes

Notes originally prepared as course material for asset allocation programmes, and since evolved as ongoing personal research. Covering core quantitative methods in portfolio construction — from classical theory to Bayesian approaches and heuristic optimisation.

2011
Investment management process
Investor profiling · Strategic asset allocation · Security selection · Execution · Performance measurement
read ↗ 2011
Portfolio construction techniques
Risk profiling · Shortfall risk AA · Elton-Gruber-Padberg · Benchmark-relative · Core-Satellite · Dynamic CPPI
read ↗ 2011
Bayesian asset allocation: Black-Litterman & Copula Opinion Pooling
Equilibrium returns · Black-Litterman · Investor views · Copula Opinion Pooling · Meucci
read ↗ 2011
Heuristic algorithms for portfolio optimisation
Simulated Annealing · Threshold Accepting · Tabu Search · Genetic Algorithms · Non-smooth objectives
read ↗
TBD
Coming soon
Further research notes in preparation
—
04

Contact

Interested in quantitative finance, ESG frameworks, or portfolio research? Feel free to reach out — always open to discussing ideas, collaborations, or talking quant.

in LinkedIn — Fernando Ruiz García @ fruizg79@gmail.com ↗ portfolio-research.xyz