Presented at the QuantMinds americas | September 2019

This presentation entitled “Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration” was given by Dr. Andrew McClelland of Numerix at QuantMinds Americas in Boston on September 11th.

The presentation addressed:

  • Tenor basis in XVA and its impact on calibrated discount-rate volatilities
  • A Cheyette-style multi-curve model with lower-bounded tenor spreads
  • A complicated HJM-style drift condition on the multi-curve model
  • Calibrating to historical basis-spread behavior (jointly with swaptions)
  • The impact of benchmark rate reforms on multi-curve modeling and calibration

 

Numerix Presenter Bio:

Andrew McClellandAndrew McClelland, Ph.D., Director of Quantitative Research, Numerix
Andrew McClelland's work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products. He also works on numerical methods for efficient production of risk profiles under real-world measures.

Andrew received his Ph.D. in finance at the Queensland University of Technology in financial econometrics. His research involved markets exhibiting crash feedback, option pricing, and parameter estimation using particle filtering methods. His 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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