Presented at Japan Insurance Forum | November 2016

This presentation entitled “Real-World Scenarios for Equity and Foreign Exchange Processes” was given by Dr. Andrew McClelland of Numerix at the Japan Insurance Forum in Tokyo on November 25th.

The presentation addresses:

  • The impact of real-world model specification and risk premia on risk profiles
  • Fitting models for volatility dynamics in foreign exchange or equity processes
  • 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 November 2016 Japan Insurance Forum presentation.

Download Slides

Complete the form below to download this slide deck from Dr. McClelland's November 2016 Japan Insurance Forum presentation.

Select Form: 

Form #4: Conference Presentation

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

* Required fields
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

numerix conference

NEXT 2017 - Meet our Speakers

numerix conference

NEXT 2017 Agenda - Learn about our Business & Tech Tracks

on-demand webinar

The xVA Transformation: Market Perspectives and Best Practices

analyst report, white paper

Aite: Risk System Replacement Pitfalls and Lessons Learned

newsletter issue - Oct 12, 2017

Derivative Insights & Innovations - October 2017 Issue

on-demand webinar

MVA: Rationale and Practical Calculations as Margining Rules Tighten

press release - Sep 20, 2017

GlobalCapital Global Derivatives Awards 2017