Webinar:

CURVES, CORRELATION, AND CALIBRATION: ADVANCED STRUCTURES AND HYBRID MODELING

On-Demand Webinar

This event is brought to you in collaboration with PRMIA

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Overview

Please view our on-demand webinar on CURVES, CORRELATION, AND CALIBRATION: ADVANCED STRUCTURES AND HYBRID MODELING, hosted by Quantitative Lead, Jan Rosenszweig and moderated by PRMIA's Director of Education, Alex Voicu.

Hybrids and structured products have become a well-established asset class among retail and institutional investors alike, and they arise naturally in liability structures and asset-liability management. As the universe and complexity of hybrid and structured products continue to grow, an effective and future-proof modeling framework is necessary to price, structure, and risk manage these products and their exposures. Quantitative Lead Jan Rosenzweig discusses important modeling considerations for pricing and risk management of hybrids and advanced structures including:

OIS curve implications for structured pricing and risk

Numeraire corrections for hybrid simulation

Cross-asset correlation calibration

Modeling exotic payoff structures

FINCAD white papers bring you the latest analysis from FINCAD financial experts and industry knowledge leaders, providing comprehensive insight into exchange traded and OTC derivatives, risk management, current regulations and compliance issues.

Founded in 1990, FINCAD provides software and services supporting the valuation and risk management of cross-asset class derivatives and fixed income securities to banks, corporate treasuries, asset management and insurance firms, auditors, hedge funds, and governments. FINCAD is the industry standard for financial analytics used by more than 4,000 organizations in over 80 countries.2013 FinancialCAD Corporation.