Presented at Risk USA | November 2018

This presentation entitled “Margin Valuation Adjustment: Initial Margin for Client Trades & Dynamic Hedges” was given by Andrew McClelland of Numerix at Risk USA in New York City on November 8th.

The presentation addressed:

  • Basic definitions and background for CCR, VM, MPoR (Margin Period of Risk), IM and MVA
  • Structure of an MVA calculation and forecasting sensitivities for IM
  • IM for dynamic hedges: forecasting hedge ratios and hedge-side IM
  • Worked example for a Bermudan hedged by vanilla swaps and swaptions
  • When, and how much, hedge-side IM to charge on to clients

 

Numerix Presenter Bio:

Daniel Schobel, Vice President & Actuary, Insurance Product ManagerAndrew McClelland, Ph.D., Director, 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.

Complete the form to the right to download this slide deck from Andrew McClelland's November 2018 Risk USA presentation.

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on-demand webinar

MVA: Rationale and Practical Calculations as Margining Rules Tighten