FINCAD offers the most transparent solutions in the industry, providing extensive documentation with every product. This is complemented by an extensive library of white papers, articles and case studies.
Results about volatility control indices, focusing on quantitatively capturing the discrepancies of the volatility target level and the actual process behaviour. We investigate the phenomena of excess volatility caused by the structure of the historical volatility estimator used in the control dynamics and the stochasticity of interest rates which considerably impacts the volatility of the forward of the underlying process.
A new approach to hybrid modeling based on a careful definition of inter-process correlation, and a new technique, called Automatic Numeraire Corrections. With this approach, an arbitrary collection of models for an arbitrary set of underlyings can be combined at run-time to form a wide variety of hybrid models on-the-fly, in which correlation parameters can be calibrated to observable correlations between physical quantities.
The role of enterprise risk management systems in today’s leading investment firms stretches far beyond compliance. A growing number of asset managers regard these new systems as pivotal to the investment process itself – key to generating higher returns, setting a bottom for potential losses, improving margins, and raising the confidence of clients, investors and shareholders.
Dr. Mark Gibbs, Chief Software Architect and Dr. Russell Goyder, Director of Quantitative Research, provide an in-depth look at the ideas that form the basis of modern curve-building and the challenges that brought about the need for change.
With the increasing complexity of financial transactions, the reliance on models has played a larger role, and the risks that arise from improper use have escalated. Not only does resource allocation become an issue, but significant financial losses can result from relying on models without a proper validation process in place.
Although the valuation process ultimately depends on your portfolio holdings (more exotic issues may require more documented reasoning for valuations), there are steps you can take to increase reliability and decrease valuation risks. In this whitepaper, seven simple and practical steps are outlined and discussed.
For organizations looking to enhance business operations, cut costs, reduce risk or increase productivity through the application of technology, the decision on whether to buy a solution from an external company or build in-house with internal resources is a common one.
This document outlines the key challenges an organization will most likely face if deciding to build an in-house solution, and highlights some of the areas where a COTS solution will typically represent a more prudent investment
The financial crisis forced the industry to re-assess how counterparty credit risk impacts the valuation of a deal. Prior to the crisis, the practice of consolidating positions with one or two large, too big-to-fail institutions was considered safe, but the bankruptcy of Lehman Brothers and subsequent stress to other large institutions, made it clear that this approach is not prudent.
Over 43% of companies are now required to calculate the Credit Value Adjustment (CVA) for their derivative valuations. In addition, 50% of auditors require their clients to include a credit adjustment on more of their derivative positions now than in the past.