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Many of us are now quite familiar with the standard narrative of “dual curve” bootstrapping – how in the good old days before the credit crisis, there was the One True Curve and the One True Price for a swap, how everyone funded at LIBOR and life was pretty simple. Of how, in the wake of the Lehman Brothers collapse in September 2008, the Libor-OIS basis widened to 365bps, from typical values of

It was once widely believed that zero was the lowest interest rate possible. On face of it, it’s not obvious why anyone would pay to lend someone money. However, despite how counterintuitive they may be, negative interest rates are real. Since 2014, the European Central Bank has elected to set the Deposit Facility Rate (DFR) lower than zero in—what some may say— is a desperate attempt to stimulate

In this TABB Forum video interview, Tony Webb, Director of Analytics at FINCAD discusses how the need for fast risk analytics to enhance trading performance is putting increasing pressure on existing risk systems. The custom-built risk models that were developed for individual asset classes or specific instruments are unable to provide the flexibility and speed required by today’s portfolio

Over the past several weeks, we touched down in Boston, Chicago, and New York with PRMIA to present on the modeling challenges associated with hybrids and advanced structures. Dr. Tony Webb, Director of Analytics at FINCAD, presented with a variety of panelists to representatives from a wide variety of organizations across the industry including State Street, Bank of America, the Fed, Moody's

I had the chance to moderate an informative session this week at the London Capital Club in central London. In the session we got to hear from industry thought leaders across both the buy-side and sell-side. The headliner for the night was to take a deeper dive into the techniques being employed at different financial institutions which enable them to achieve a competitive advantage. It was an