This presentation entitled “The Fundamental Review: Implications and Challenges” was given by Dr. Andrew McClelland of Numerix at the Risk Australia Conference in Sydney on August 18th.
The presentation addresses:
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.
Complete the form to the right to download this slide deck from Dr. McClelland's August 2016 Risk Australia Conference presentation.
Complete the form below to download this slide deck from Dr. McClellands's August 2016 Risk Australia Conference presentation.
Thinking Derivatively – September 2023 Newsletter
Thinking Derivatively – August 2023 Newsletter
White paper | As Action Time Nears, Be Aware of These 3 Big FRTB Issues
Bond Pricing Institute (BPI) Annual Conference
Risk.net On-Demand Webinar | Zero-day options: ticking time bombs or high alpha trades?
QuantMinds International 2023
Fixed Income Leaders 2023
Asia Risk Congress 2023
WBS 19th Quantitative Finance Conference (QFC)
A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application
Fixed Income Leader Summit
Australia EQD 2023