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CFA NY Panel Discusses Modeling Implications for Libor Cessation
I recently had the opportunity to participate in a panel for CFA Society NY, as part of their Libor Transition Series. Conversation centered on “Modeling Implications for Replacement Rates for Libor.” I was in good company with host, Peter Went, PhD, lecturer at Columbia University, Fabio Mercurio, Global Head of Quantitative Analytics at Bloomberg, and Agha Mirza, Managing Director and Global
CFA_Libor_Panel
CVA_Japan_Bank
Are Japanese Firms Ready to Meet the April 2021 CVA Deadline?
Beginning in April 2021, Japanese financial institutions will be required to calculate and subsequently report credit valuation adjustments (CVA) and debit valuation adjustments (DVA) under new Accounting Standards Board of Japan (ASBJ) guidelines. While CVA reporting has been in place for many years for international banks, many smaller regional Japanese banks are only now being asked to meet the
February 26, 2021
Blog
Volatility
Considerations when Adding Equity Volatility Instruments to Your Portfolio
Markets across the world were rocked last year by the COVID-19 pandemic. Between February and March of 2020 tumbling equity markets combined with high correlations hit issuers of structured equity products especially hard. In particular, a number of European “Blue Chips” announced freezes or cuts to their dividend payouts as regulators pressured their respective banking sectors into holding
February 18, 2021
Blog
Python_Tech
“pip install fincad_analytics”
According to the TIOBE’s Programming Language index, Python made a positive move in 2020, with its overall rating increase, representing the largest gain in popularity in one year in the index. We too are seeing a similar trend echoed in the financial industry as finance professionals look for simple, fast and efficient ways to serve their customers. Over the last year, we have directed our focus
February 17, 2021
Blog
FINCAD_Looking_Forward
Learning from the Past, Looking Forward
To say 2020 has been a year like no other is an understatement. This year has tested human resolve on a scale many of us have never seen. The coronavirus has directly and indirectly impacted every human on earth. I wish to extend my heartfelt condolences to those who have lost a friend or family member and strength to those who are fighting it. Despite the strong coronavirus headwinds this year
December 22, 2020
Blog
USD_Libor
Libor Transition and Repercussions for USD Interest Rate Models
Several global currencies, including USD, are on track for Libor cessation in the not-so-distant future. As a result, we’re now amid a swift regulatory push to promote alternative benchmarks and simultaneously discourage reliance on the Libor benchmark rate. Impacted firms are also working hard to adjust their processes and technology to adapt to this massive change.
December 10, 2020
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