Presented at the MATLAB Computational Finance Conference | September 2017

This presentation entitled “Pricing and Risk Analytics with the MATLAB-Numerix Interface” was given by Dr. Andrew McClelland of Numerix at the MATLAB Computational Finance Conference in New York on September 28th.

xVA is rapidly becoming a standard for assessing risk associated with counterparties since the financial crisis. Many regulations (FRS13, Basel III) are requiring CVA as part of the reporting frameworks. In his presentation, Dr. McClelland provided an overview of xVA pricing and risk management, the main computational challenges faced when implementing them, and how the MATLAB Numerix Interface can help organizations overcome them while simplifying the management of these exotic instruments.

 

Numerix Presenter Bio:

Andrew McClelland, Ph.D., Director, Quantitative Research, Numerix

Andrew McClelland's work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Complete the form to the right to download this slide deck from Dr. Andrew McClelland's September 2017 MATLAB Computational Finance Conference presentation.

Download Slides

Complete the form below to download this slide deck from Dr. Andrew McClelland's September 2017 MATLAB Conference presentation.

Select Form: 

Form #4: Conference Presentation

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
journal issue

Numerix Journal Vol. 5, No. 1

conference presentation

Margin Value Adjustment and Adjoint Differentiation

conference presentation

Multi-Curve and the end of LIBOR

news - article pdf - Jun 5, 2018

Sell Side Technology Awards 2018 | Best Sell-Side Credit Risk Product

newsletter issue - Jun 4, 2018

Thinking Derivatively - June 2018 Issue

written blog

Blockchain in the Derivatives Market: Not to Be Dismissed

on-demand webinar

Avoiding Common Pitfalls on the Path to Digital Transformation

in the news - May 9, 2018

OpenFin Expands Beyond Front Office

in the news - May 9, 2018

Numerix Deploys Oneview on OpenFin's Operating System

press release - May 4, 2018

Numerix Retains Leading Position as Sell Side Technology's Best Provider of XVA Pricing...

live webinar

Avoiding Common Pitfalls on the Path to Digital Transformation

newsletter issue - May 2, 2018

Thinking Derivatively - May 2018 Issue