Presented at Risk Australia Conference | August 2016

This presentation entitled “The Fundamental Review: Implications and Challenges” was given by Dr. Andrew McClelland of Numerix at the Risk Australia Conference in Sydney on August 18th.

The presentation addresses:

  • Pricing initial margin funding costs and forecasting future margin
  • Comparison of FRTB framework vs Basel II.5/III framework
  • Main components of FRTB-MR and FRTB-CVA and timeline

 

Numerix Presenter Bio:

Dr. Andrew McClelland, Director, Quantitative Research, Numerix
Andrew McClelland’s quantitative research at Numerix focuses on XVA pricing and hedging, generating counterparty credit risk metrics for structured products, and estimating risk model parameters via time-series estimation. He earned his PhD in finance at the Queensland University of Technology for a thesis on financial econometrics. He considered markets exhibiting crash feedback, option pricing for such markets, and parameter estimation for such markets using particle filtering methods. Dr. McClelland’s work has been published in the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

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