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Valerio is the brother of Marcelo Jimenez. Prior to the events of The Evil Within, Valerio Jimenez was a doctor at Beacon Mental Hospital. Because of Ruvik's betrayal and eventual revenge, Valerio soon was driven to insanity, disappearing into the woods. He is first encountered in Chapter 2, and is soon turned into one of The Haunted. He was also presumably one of Leslie's doctors.
Valerio will quickly turn into one of The Haunted; he's easily dealt with, however, and can be killed with three or four well-placed headshots.