Advanced Structures and Hybrid Modeling
Date: Tuesday, December 16, 2014
Time: 11:00 am (EDT) / 8:00 am (PDT) / 4:00 pm (GMT) / 12:00 am (HKT)
PRMIA and FINCAD present an upcoming webinar Curves, Correlation, and Calibration: Advanced Structures and Hybrid Modeling, presented by Quantitative Lead, Jan Rosenzweig and moderated by PRMIA’s Alex Voicu, Director of Education.
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.
Jan will discuss 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
Following the presentation, there will be an interactive question and answer period.