Andrew McClelland

SVP,Quantitative Research at Numerix

Speaker

Andrew McClelland is a researcher at Numerix, where he specializes in quantitative analysis related to XVA pricing and hedging, as well as generating counterparty credit risk metrics for structured products. He also has experience in estimating risk model parameters through time-series estimation. Andrew earned his PhD in finance from Queensland University of Technology, where he focused on financial econometrics. His thesis explored various aspects of market crashes, including crash feedback, option pricing, and parameter estimation using particle filtering methods. Andrew's research has been published in prestigious academic journals such as the Journal of Banking and Finance, the Journal of Econometrics, and the Journal of Business and Economic Statistics.

Andrew would Decomposing Hedge Backtesting Results: Insights for Model Validation & Model Optimization