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I recently attended a PRMIA event hosted in London that explored how to navigate through the vast uncertainty created by Brexit. Attendees listened in on lively panel dialogue offering diverse perspectives on how financial institutions and technology providers can best adapt. This included a discussion on the economic and legal implications, as well as analytics and risk management issues created

In our last blog we discussed the different models that can be used when interest rates are low or negative and how the models can be calibrated to market data. When standard transactions such as caps, floors, and swaptions are being considered, the model being used does not have an appreciable effect on the price. This sounds counterintuitive, but is a direct result of the way models are used by

I am very excited to announce that F3 now offers coverage for mortgage-backed securities (MBS) via integration with data analytics providers, Andrew Davidson & Co. and Intex. Buy side firms can use F3 to accurately hedge exposure and perform scenario analysis across their entire multi-asset portfolio, including derivatives and MBS. To combat low interest rates and achieve higher returns, more buy

Despite the fact that negative interest rates have been around for a few years now, they continue to create modelling challenges for market practitioners. With this in mind, FINCAD recently hosted an interactive event aimed at helping answer individuals’ most pressing questions around the rather counterintuitive concept of negative rates. Speakers included respected industry professionals, John

In our last blog we reported on the relationship between the level of interest rates and their volatility. However, all of the data underlying the analyses that we reported on in that blog came from 2013 or earlier. Since then we have seen rates decline and, in many jurisdictions, become negative. In this blog we will discuss the models that can be used for calculating the price of European style