Advances in Counterparty Credit Risk Modelling in Energy Markets
At the Risk Australia 2021 virtual event, which was held August 25-26, Numerix’s Andrew McClelland, SVP of Quantitative Research, delivered a presentation titled Counterparty Credit Risk Modelling in Energy Markets. During the presentation, he looks at what is being done to improve energy models inside the counterparty credit risk setting. This is relevant today as there is demand across the industry for improvements, enhancements, and extensions to existing energy models.
Register today for this on-demand webinar and gain insights as Andy explores a number of topics, including:
- How the market needs realistic scenarios for energy markets—and energy market evolution—in order to get a proper hold on the counterparty credit risk picture.
- He provides an example of trying to capture the correlation between two energy curves (such as natural gas curves, oil curves, electricity curves, and so on).
- He looks at what is successful in modelling interest rate curves and how that can be applied to energy curves.
- The open correlation problem: How are you going to recover correlations across energy curves?
Featured Speakers:
Andrew McClelland, Ph.D., Senior Vice President of 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.
