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Andrew McClelland
Director, Quantitative Research at Numerix

Profile

Andrew McClelland, Ph.D., Director, 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.

Andrew McClelland's Network

Agenda Sessions

  • Chairman's opening remarks

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  • Advances in Tenor Basis Modeling: Boundedness, Specification and Calibration

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  • Chairman's closing remarks

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  • MVA: Future IM for Client Trades & Dynamic Hedges

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