Presented at Risk Korea | February 2017

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:

  • Quick recap of the FRTB market risk framework and its difference from Basel II.5/III
  • Which types of risks are "targeted" by the FRTB revisions and which will induce the largest capital impact?
  • Discussing the key issues that raise industry concerns, eg. RRAO, NMRF's

 

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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