This presentation entitled “Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration” was given by Dr. Andrew McClelland of Numerix at the Quant Summit USA in New York City on July 17th.
The presentation addressed:
Andrew McClelland, Ph.D., Director of 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 July 2019 Quant Summit USA presentation.
Complete the form below to download this slide deck from Dr. Andrew McClelland's July 2019 Quant Summit USA presentation.
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