Modelling Energy Curves for XVA
Why Attend?
In this new webinar presentation from Numerix’s SVP of Quantitative Research Andrew McClelland titled, "Modelling Energy Curves for XVA",
Andy takes a look at energy curves, e.g. natural gas futures curves, and XVA for energy portfolios – analyzing seasonality in energy curves and correlations in XVA calculations. He explores seasonality in the correlation structure, and how this should be captured via models used in an XVA setting.
Register today to get insights and commentary across several areas including:
- Seasonality in energy curve distributions & role of correlations in XVA
- The Andersen ('10) model from Cheyette ('92), some intuition & model highlights, applicability to XVA
- Quirks of calibrating seasonal models, a method-of-moments (covariances) approach
- Extensions: cross-hub basis spreads, electricity hourlies
- Refining the calibration via filtering, cross-curve correlations & historical-measure dynamics
Speakers:
Dr. Andrew McClelland, Senior Vice President of Quantitative Research
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.
