Presented at the FRTB Implementation Summit USA | May 2017

This presentation entitled “Another Look at Some Quantitative Aspects of the FRTB: Portfolio-Specific Impacts” was given by Dr. Andrew McClelland of Numerix at the FRTB Implementation Summit USA in New York on May 16th.

The presentation addresses:

  • The key types of portfolio characteristics targeted by the revisions; tail risk, cross-asset diversification, illiquidity
  • Local nature of the SBA and its ability to approximate a nonlocal metric like ES; over- and under-approximation examples for different exotics
  • Recap of IMA approvals roadblocks, and general strategies to better align front- and middle-office P&L across desks

 

Numerix Presenter Bio:

Dr. Andrew McClelland, Director, 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.

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