Presented at QuantMinds International | May 2019

This presentation entitled “Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration” was given by Dr. Andrew McClelland of Numerix at QuantMinds International in Vienna on May 14th.

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
  • Demonstrated use in stochastic models (LV and LSV)
  • Calibrating to historical basis-spread behavior (jointly with swaptions)
  • Impact of benchmark rate reforms on multi-curve modeling and calibration

 

Numerix Presenter Bio:

Andrew McClellandAndrew 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.

 

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