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OIS discounting has become fundamental to nearly all risk neutral derivative pricing methods. Because OIS is the standard funding rate in CSA agreements in both the OTC and cleared markets, implications of not adopting best practices are significant. The reality is that without accurate OIS curve construction, pricing, valuation and risk output are compromised. Inaccurate curve models can falsely

(Photo by Drew Angerer/Getty Images) Careers in Finance and the Capital Markets have traditionally been dominated by men. However, I believe the industry could benefit tremendously from greater gender diversity. As such, I am pleased to announce that FINCAD’s 2017 Women in Finance Scholarship is now open and accepting applications. Currently in its third year, the goal of the program is to

Over the last several years, leading quant teams have been working to modernize and optimize risk management practices. They are doing this by applying Algorithmic Differentiation (AD) to accelerate solving complex pricing and analytics problems. For those unfamiliar with the concept of AD, it is a mathematical technique that radically speeds up the calculation of greeks. In fact, for typical

If you are evaluating valuation and risk solutions, I would encourage you to check out the vendor’s case studies. While items like brochures, product demos, and website content are useful in helping you understand solution offerings, a good case study will give you valuable insight into real-world use cases and results of the system you might be considering. If the vendor has a healthy library of

Today we published a new case study about our client, Yapi Kredi Bank Nederland N.V. This firm is the Amsterdam branch of Yapi Kredi, the fourth largest bank in Turkey. The case study gives good insight into how this firm gained greater confidence in their valuations with a solution that offers an accurate, third-party validation of their results. Validation is important to many banks, as fair