Andrew Dickinson

Andrew Dickinson is a senior quantitative analyst at Bank of America focussing on the modelling of central counterparties (CCPs). Prior to his current role he was responsible for FVA modelling at JP Morgan preceded by a number of years working on the pricing of structured interest rate derivatives at Bank of America Merrill Lynch and JP Morgan.

He holds a doctorate in probability theory from the University of Oxford.

Articles by Andrew Dickinson

Banking

Mind the gap

A default intensity model reveals the risk carried by a highly leveraged counterparty

13 Apr 2022

Journal of Financial Market Infrastructures

Original research

Funding and credit risk with locally elliptical portfolio processes: an application to central counterparties

In this paper, the authors extend the scaling approach of Andersen et al (2017a) from a model driven by Brownian motion to one driven by an arbitrary isotropic Lévy process.

30 Jul 2019