This presentation entitled “FRTB-Market Risk: Portfolio-Specific Impacts” was given by Dr. Andrew McClelland of Numerix at Risk Korea in Seoul on February 23rd.
The presentation addresses:
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 February 2017 Risk Korea presentation.
Complete the form below to download this slide deck from Dr. McClelland's February 2017 Risk Korea presentation.