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.

Complete the form to the right to download this slide deck from Dr. Andrew McClelland's October 2017 Risk USA Conference presentation.

Download Slides

Complete the form below to download this slide deck from Dr. Andrew McClelland's October 2017 Risk USA Conference presentation.

Select Form: 

Form #4: Conference Presentation

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
in the news - Jan 9, 2018

Datanami | Graph Databases Hit Wall Street

in the news - Jan 9, 2018

Chartis RiskTech 100 2018 | Winners' Review: Numerix

newsletter issue - Jan 11, 2018

Derivative Insights & Innovations - January 2018 Issue

in the news - Dec 21, 2017

CEO Today USA Awards 2017

in the news - Nov 28, 2017

CEO Today | Committed to Thinking outside the Box

written blog

The Dependency Graph Advantage

news - article pdf - Dec 14, 2017

Risk.net Market Technology Awards 2018 | Actuarial Modelling Product of Year

press release - Dec 4, 2017

Best Analytics Platform for Structured Products Technology in Europe

news - article pdf - Dec 4, 2017

Structured Products Europe Awards 2017 | Pricing and Analytics Platform of the Year

conference presentation

Update on SIMM and Margining

newsletter issue - Dec 7, 2017

Derivative Insights & Innovations - December 2017 Issue

conference presentation

Fixed Income Trading Technology