Join Date: Mar 2003
Location: CGN (Cologne, Germany), travel agent, hardcore Sabre user
Programs: AA Lifetime Gold, BA, DL, LH, HH Diamond, Bonvoy Platinum, AX Centurion
Posts: 445
A travel agent using Sabre would be your best support here. They can book AA and IB in one PNR, which leads to each airline seeing the big picture (i. e. the other airline's flights). Makes it much more likely that bags are checked through and that you get protected in case of irrops.
As others have mentioned, end-on-end ticketing would even allow for everything being put on one ticket, but in this case the specific fare rules prohibit it. Still, having one PNR is an advantage over separate bookings.
I just priced both options with random dates in October and found the difference to be about $3000. Seems worth taking the risk to me, but at least on the way back I'd suggest you take an evening flight from GVA and overnight at the airport in MAD. Otherwise, the connection time of less than two hours is risky, and missing that flight could be much worse than missing the one from MAD to GVA.