Numerix Webinar: Real-World Equity & Volatility Behavior: Implications for Economic Scenario Generation

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Join Numerix on Wednesday, April 2nd at 4 pm EDT / 1 pm PDT for a Webinar Discussing Practical Issues in Real-World Economic Scenario Generation

New York, NY – March 31, 2014 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, will host a complimentary webinar on Wednesday, April 2nd at 4pm EDT / 1 pm PDT as featured speaker Dr. Andrew McClelland, Financial Engineer at Numerix will discuss practical issues in real-world economic scenario generation. Dr. McClelland will examine the implications of incorporating risk premia for equity scenarios, discuss estimation issues associated with identification of risk premia parameters, and show how the American Monte Carlo approach can be used to generate real-world risk profiles.

In the risk-neutral world, all investments grow, on average, at the risk-free rate. In reality, risky positions earn a premium depending on their sensitivities to market factors. For instance, a call on an equity index is seen to earn a premium while a put is seen to pay a premium.

 

Thus, while risk-neutral dynamics are ideal for producing valuations and hedge ratios, risk must be assessed with reference to real-world dynamics which incorporate such risk premia, and this has immediate consequences for the generation of economic scenarios by insurance companies.

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Dr. McClelland’s presentation will cover:

•    Real-world vs. risk-neutral comparison

•    Pricing and risk examples using real-world and risk-neutral assumptions

•    Primer on stochastic volatility

     o    Heston vs. Black Scholes

•    How to recover/estimate risk premia and how it differs from calibration

•    Time series analysis to estimate risk premia

•    Simulating real-world dynamics

•    Using American Monte Carlo to produce real-world risk profiles

     o    Similarities to Monte Carlo VaR and Counterparty Credit Risk computations

Attendance is complimentary, Registration is required. REGISTER NOW

Featured Numerix Speakers:

Andrew McClelland, PhD, Financial Engineering, Numerix

Andrew McClelland’s work at Numerix focuses on counterparty credit risk issues including valuation adjustments and counterparty exposure production for structured products, and numerical methods for efficient production of risk profiles under the real-world measure. Dr. McClelland 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. His work has been published in the Journal of Banking and Finance and the Journal of Econometrics.

 

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 80 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Sao Paulo, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

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