Presented at the Risk USA Conference | October 2017

This presentation entitled “Margin Valuation Adjustments” was given by Dr. Andrew McClelland of Numerix at the Risk USA Conference in New York on October 26th.

  • Initial margin requirements for cleared and non-cleared trades
  • Hedging non-cleared trades with cleared trades and other non-cleared trades
  • Capturing the cost of initial margin funding with the margin valuation adjustment (MVA)
  • Simulating future initial margin requirements with an emphasis on future sensitivities
  • Numerical examples for swaptions and Bermudans

 

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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