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FINCAD recently hosted a round-table discussion in London. The event offered a forum for key players in insurance, pensions and asset management to discuss the top challenges and trends of today’s liability-driven investment (LDI) landscape. The event was chaired by Erik Vynckier of Foresters Friendly Society. Speakers included Prasun Mathur of the Phoenix Group, Sumit Mehta of Legal and General

By any measure, 1990 will be remembered as a remarkable year—for many reasons. There were a lot of firsts that year. Poland became the first eastern European country to abolish its state socialist economy, withdraw from the Warsaw Pact and move toward free elections. That was the beginning of the end of communist hegemony over Eastern Europe, the breakup of the Soviet Union and the end of the East

The credit value adjustment (CVA) is an adjustment to the way a dealer values a portfolio of derivatives with a counterparty to allow for the possibility that the counterparty might default. The CVA reduces the value of the portfolio by the amount that is expected to be lost if the counterparty defaults. We described how it is calculated in an earlier blog: “ Valuation Adjustments 1.” The life of

FINCAD recently held a webinar, “Negative Rates: Dealing with an Unorthodox Experiment.” During the presentation, I discussed the origin of negative interest rates, the challenges they are creating and gave best practices for modeling them. As many of us know, interest rates near zero have been around for a long time. But things really got going in 2015 when the European Central Bank’s (ECB)

PRMIA and FINCAD recently co-hosted an event in New York City focused on the growing global trend towards negative interest rates as an unconventional means of sparking economic growth. The seminar was titled, “Negative Rates: Dealing with an Unorthodox Experiment,” and was led by Russell Goyder PhD, Director of Quantitative Research and Development, FINCAD. The event offered a great opportunity