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QuantMinds International
18 - 21 November 2024
InterContinental O2London

Andrew McClelland
Director, Quantitative Research at Numerix
Speaker

Profile

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.

Agenda Sessions

  • Approaches to Learning Basis Functions for LSMC

    16:30