Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets
Risk USA, held from November 8 to November 11, 2021, brought together over 500 industry thought leaders and practitioners together in one place to cover market, credit, liquidity and investment risk, as well as the challenges and opportunities presented by new market developments.
Numerix’s Andrew McClelland, SVP of Quantitative Research, delivered a presentation titled Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets. He addressed natural gas and electricity curves and the dynamics that complicate modelling, risk measurement and other issues.
Watch this on-demand webinar today and gain insights into a number of topics, including:
- Handling seasonality of natural gas curves for greater precision in credit exposure assessments
- How seasonality complicates curve modelling risk measurement
- An analysis of seasonality in correlation structures
- Ways to accurately capture wrong-way risk effects
- The dependence of counterparty credit risk on correlations between constituents or risk factors
Featured Speakers:
Andrew McClelland, Ph.D., Senior Vice President of 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.
