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
journal issue

Numerix Journal Vol. 4, No. 1

conference

The 13th Fixed Income Conference 2017

press release - Jul 12, 2017

Numerix Positioned as Category Leader in Chartis RiskTech Quadrant® for FRTB

newsletter issue - Jul 13, 2017

Derivative Insights & Innovations - July 2017

conference

Asia Risk Congress 2017

conference, industry conference

Investment Solutions Forum 2017

press release - Jun 20, 2017

Sberbank teams up with Numerix to deliver market-leading IT system solution

newsletter issue - Jun 15, 2017

Derivative Insights & Innovations - June 2017

white paper

New Best Practices for Operating in Today's Capital Markets Reality

industry conference

Risk Management and Trading Conference 2017

video blog

2017 Global Derivatives Recap with Udi Sela

conference, industry conference

II Congreso Latinoamericano de Riesgos