Daily Archives: December 15, 2014

Webinar: ADVANCED STRUCTURES AND HYBRID MODELING, ADVANCED STRUCTURES AND HYBRID MODELING Tuesday, December 16, 2014 11:00 am (EDT)

Join Us:  Tuesday, December 16, 2014
11am (EDT) 8am (PDT) 4pm (GMT) 12am (HKT)

Following the presentation, there will be an interactive question and answer period.

Register now

OVERVIEW


Register now to attend our 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.

SPEAKER


Jan Rosenzweig, Quantitative Lead, FINCAD Client Services
Jan has spent the best part of last fifteen years working in the financial markets, as a quant, trader, structurer, portfolio manager and fund manager. He has worked for Credit Suisse, Rabobank, HSH Nordbank, IV Capital and Brancherose. He leads FINCAD’s Professional Services business in EMEA. Jan has a PhD from the University of Cambridge and a BSc from the University of Zagreb.