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.

Complete the form to the right to download this slide deck from Dr. McClelland's August 2016 Risk Australia Conference presentation.

Download Slides

Complete the form below to download this slide deck from Dr. McClellands's August 2016 Risk Australia Conference presentation.

Select Form: 

Form #4: Conference Presentation

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
industry conference

CBOE 2018 - 34th Annual Risk Management Conference

newsletter issue - Feb 7, 2018

Derivative Insights & Innovations - February 2018 Issue

press release - Jan 17, 2018

Numerix Oneview Insurance Named Actuarial Modelling Product of the Year in the Risk.net Market...

in the news - Jan 9, 2018

Chartis RiskTech 100 2018 | Winners' Review: Numerix

newsletter issue - Jan 11, 2018

Derivative Insights & Innovations - January 2018 Issue

conference presentation

Update on SIMM and Margining

newsletter issue - Dec 7, 2017

Derivative Insights & Innovations - December 2017 Issue

on-demand webinar

The End of LIBOR: Implications and Preparing for 2021

live webinar

The End of LIBOR: Implications and Preparing for 2021

on-demand webinar

Tipping Points for Legacy Risk System Replacement: The CRO View

newsletter issue - Nov 9, 2017

Derivative Insights & Innovations - November 2017 Issue

content collection

NEXT 365