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Gearing Up for the End of IBOR
The move to alternative risk-free rates (RFRs) is upon us. While we do not know an exact date for when Libor will be formally discontinued, we believe it’s coming –and relatively soon. Firms are now in a phase of needing to adapt their technology and valuation and risk processes to meet this new frontier. From EONIA to €STR To foster liquidity one of the first steps involves transitioning the
End of IBOR
Women in Finance
Now accepting applications: FINCAD’S 2020 Women in Finance Scholarship
We are very pleased to announce that the 2020 Women in Finance Scholarship is now open and accepting applications! For those unfamiliar, the scholarship is aimed at supporting exceptional women in the field of finance, particularly those pursuing careers in financial asset management, market risk management and derivatives finance within the capital markets.
May 15, 2020
Blog
Negative Oil Futures: A Sign Of Things To Come?
Negative Oil Futures: A Sign Of Things To Come?
Preparing your option pricing and risk models for negative commodity futures prices This week began with a shocking decline in the May WTI oil futures contract price. In an unexpected sequence of events, combining the low demand for oil, a definitive lack of storage options, and a rush of traders exiting positions before delivery obligations were to occur, the perfect storm was created. The WTI
April 24, 2020
Blog
COVID-19 and the Markets: A Closer Look at Implied Variance Over the Past 60 Days
COVID-19 and the Markets: A Closer Look at Implied Variance Over the Past 60 Days
Market turbulence in the last two months has left many wondering, "What's next?" We've seen indicators of the economy trending poorly, such as high unemployment, continued infection rates, and potential supply chain disruption. Meanwhile the markets themselves have remarkably bounced back to modest declines over the last three weeks. To better understand the markets in uncertain times, it is
April 22, 2020
Blog
Optimizing Technology for Liability-Driven Investing
Optimizing Technology for Liability-Driven Investing
Plummeting interest rates spurred by the COVID crisis are making liability-driven investing (LDI) more challenging than ever. Though firms are seeing reduced returns, they must still try to find ways of ensuring they have sufficient assets to cover their liabilities. To ease some of the complexity, it’s vital to have LDI technology in place with flexibility to properly match investment and risk
April 8, 2020
Blog
Managing Volatility Risk During the COVID-19 Crisis
Managing Volatility Risk During the COVID-19 Crisis
In just a few short weeks, the coronavirus has wreaked havoc on our daily lives and the global economy. Market volatility has increased dramatically, mostly due to significant declines, but also due to some recent positive swings. Drastic measures are now being taken to combat the spread of this novel virus. With investors reacting to the latest news of government stimulus, community infection
March 30, 2020
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