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Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework

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2019/01/18
United States

Speaker: Ping Sun, PhD., Senior Vice President, Financial Engineering, Numerix

Topics:

Challenges in Curve Stripping:

  • Underlying & Derivatives
  • Bootstrapping vs. Global Solving
  • Functionalities Needed in Curve Stripping

Numerix Multi-Curve Framework:

  • Solving Multiple Curves Carrying Multiple Currencies
  • Central Bank Meeting Dates
  • Turn Effects
  • Interpolation & Extrapolation
  • Spread Curves
  • Alternative Reference Rates and Curve Stripping

イベント details

Geographic Focus
Asia-Pacific, EMEA, LATAM, North America
Format
Webinar