Presented at the MATLAB Computational Finance Conference | September 2017

This presentation entitled “Pricing and Risk Analytics with the MATLAB-Numerix Interface” was given by Dr. Andrew McClelland of Numerix at the MATLAB Computational Finance Conference in New York on September 28th.

xVA is rapidly becoming a standard for assessing risk associated with counterparties since the financial crisis. Many regulations (FRS13, Basel III) are requiring CVA as part of the reporting frameworks. In his presentation, Dr. McClelland provided an overview of xVA pricing and risk management, the main computational challenges faced when implementing them, and how the MATLAB Numerix Interface can help organizations overcome them while simplifying the management of these exotic instruments.

 

Numerix Presenter Bio:

Andrew 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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