Monday, April 9th
5:45 PM Registration 6:00 PM Seminar Begins 7:30 PM Reception
With regulatory pushes for CCP-based trading and for the application of initial margin in OTC trading, the funding and counterparty credit risk areas are undergoing a fundamental transition. In this talk, we discuss practical ways to measure credit and funding costs in the new market reality. We present new theory for certain classes of locally elliptical processes, and show how this theory can be used to generalize Ito processes and to conveniently calculate CVA and MVA in a fat-tailed setting. We cover both OTC bilateral trading, as well as the more complicated situation where a bank trades its house account as a clearing member of a CCP.
Biography
Leif B. G. Andersen is the Global Co-Head of the Quantitative Strategies Group at Bank of America Merrill Lynch. He holds MSc’s in Electrical and Mechanical Engineering from the Technical University of Denmark, an MBA from University of California at Berkeley, and a PhD in Finance from University of Aarhus Business School. He was the co-recipient of Risk Magazine’s 2001 and 2018 Quant of the Year Award, and has worked for a quarter century as a quantitative researcher in the derivatives pricing area. He has authored influential research papers and books in all areas of quantitative finance, including the three-volume monograph “Interest Rate Modelling’’ (co-authored with Vladimir Piterbarg). He is an Associate Editor of Journal of Computational Finance, and is an Adjunct Professor at Carnegie Mellon’s Tepper School of Business and at NYU’s Courant Institute.
About the Series
The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.
