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.

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