Blog

Last month, FINCAD team members travelled to Stockholm, Sweden to participate in a Marcus Evans event focused on asset allocation under Solvency II. Speakers at the conference explored many of the struggles insurance firms are encountering as they work to comply with the risk-based solvency requirements, and reviewed strategies they are using to better manage assets under the Directive. I had the

FINCAD, a leading provider of innovative derivative valuation and risk management solutions, has been selected as one of BC's Top Employers for 2016. Organized by the editors of Canada’s Top 100 Employers, the competition recognizes British Columbia employers that lead the way in offering exceptional places to work. FINCAD has been recognized as one of BC’s Top Employers for the seventh time, and

When I talk to our buy side clients I hear some common themes. They are undertaking more complex investment strategies, involving more multi asset class, multi-currency portfolios. The number of curves they need for valuation and risk calculations is growing. And many financial institutions rely on spreadsheets to deal with derivatives calculations that their core systems cannot handle effectively

Traditionally quants have been concerned with the processes followed by market variables in a risk-neutral world. This is because their main focus has been on the valuation of derivatives. As we have explained in a previous blog, Hull and White (2015), risk neutral valuation is a very important flexible tool without which the valuation of derivatives would be extremely difficult. But it should

In mid-February, FINCAD held a seminar exploring the difficulties firms encounter around meeting valuation requirements, and offering insight into how these challenges can be overcome with flexible modeling. Held in FINCAD’s new, state-of-the art London office, the event brought together a number of professionals from leading buy- and sell-side institutions. I kicked off the seminar with a