On November 2nd, Numerix hosted a complimentary webinar led by Senior Quantitative Analyst, Olga Us, discussing the valuation and pricing issues surrounding long-dated, interest rate products. You can access a replay of the webinar here.
Webinar Highlights
The presentation began with an initial discussion outlining the five key steps (and questions you should ask!) that should be implemented for a successful pricing process when valuing these complex instruments. Ms. Us also cautioned about the importance of utilizing accurate market data, citing that it is often the most ‘overlooked area’ in the model review process; yet, clearly it is paramount.
What Are the Five Building Blocks for a Sound Valuation Process?
Senior Quantitative Analyst, Olga Us, highlighted the key points below:
Pricing Issues: Key ‘Takeaways’—from Data to Benchmarking
Market data should be used carefully.
Choosing the right model takes practice and experience.
Calibration of a model is never perfect: There is always room for improvement.
Flexible pricing environment is essential for robust and transparent pricing.
(Did you remember to check convergence in your numerical valuation?)
Benchmarking can bring us back to the start of valuation. This is a foolproof test for any pricer.
Cashflow Analysis
If you have further questions or would like more information about Numerix solutions, please contact sales@numerix.com.