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Q&A Session with FINCAD’s Jonathan Rosen, PhD In January, Jonathan Rosen, PhD, published a technical paper: How the End of Libor will Impact Delta-1 Rates. Indeed, Libor is on track to be phased out by 2021 and this is creating challenges for a good many financial institutions. However, current events surrounding Libor are quickly changing, so we thought it prudent to touch base with Jonathan

There’s no doubt that the insurance industry has faced challenging paradigm shifts in recent years. For one, Solvency II has fundamentally changed the way insurance balance sheet management is undertaken. Today regulatory capital optimization is just as important as generating returns for shareholders. What’s more, portfolio managers are now under more pressure than ever to hunt yield across an

Python, the amazingly versatile programming language, is quickly becoming a preferred tool in the realm of derivatives finance. In addition to its ease of use and ability to help you speed up the development lifecycle, Python also offers a vast ecosystem of powerful math and science libraries. Many of these libraries are free to use and are well-suited to the modeling, analysis and computation

It’s likely that those of you keeping up with market events will be familiar with the landmark building pictured above. The Crown Court at Southwark is a court designated as London’s fraud centre, where cases concerning market manipulation have been tried. It’s safe to say that the current financial landscape is a tumultuous one—riddled with uncertainty, upheaval and, at times, dirty dealings. And

In my previous blog post, I talked about the set of instruments that should be used to build the SOFR curve. Since SOFR is such a new benchmark rate, its derivative markets are not yet mature, and some care is needed when deciding which are the best instruments to use. I explained that there are two approaches to building the SOFR curve, the first being single-curve bootstrapping and the second is