PolyPaths is thrilled to be attending SFVegas 2024 with our parent company Numerix! PolyPaths offers a versatile, easy-to-use, fixed income analytics solution with uncompromising analytical rigor. To learn more about our product or schedule a meeting, please reach out to support@polypaths.com. We’ll be at Booth 87 so please stop by!
Please join us on Thursday, March 21st for a joint webinar with Moody’s Analytics where we provide an overview of Moody’s coverage and how Moody’s cash flow models can be leveraged within PolyPaths. Full details and registration are available here.
The February 2024 issue of Pathways is now available! For this month’s case study, Aaron Leclair outlines approaches to incorporate inflation as a risk factor into VaR. He methodically illustrates the impact of inflation duration to both sensitivity-based and full-valuation VaR over various time periods. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
The January 2024 issue of Pathways is now available! For this month’s case study, Parmeet Singh reviews our least squares Monte-Carlo (LSM) model for callable bonds. He compares and contrasts the LSM framework with our one-factor trinomial tree model, in terms of calibration, performance, and suitability to different instrument types. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
The December 2023 issue of Pathways is now available! For this month’s case study, David Oh, walk throughs PolyPaths roll rate matrix functionaliy to assist forecasting prepays, defaults, and losss over a horizon using conditional transition probabilities. He walks through this framework using a published monthly transition table compiled using 120 million mortgage loan records. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
Please join us on Tuesday, December 12th, in collaboration with Risk.net, to explore the intricate world of structured credit markets in 2024. The webinar discussion will review key market dynamics in 2023, looking ahead to 2024 to see how practitioners are handling challenges posed by high interest rates, persistent inflation and the ongoing implications of the Libor transition. Full details and registration are available here.
The November 2023 issue of Pathways is now available! For this month’s case study, Parmeet Singh, takes a closer look at MSR analysis in the context of the current high-rate, high-home-equity environment. He explores several built-in tools that allow MSR investors to better understand the interrelated cash flow dynamics of the service fee, revenue from carry on principal and interest payments, and various costs to service the loan. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
Market rates lay at the core of all analysis and valuations within PolyPaths. They are used for calibrating our embedded options models, forecasting discount rates and floating interest, and feeding key inputs to behavioral models. PolyPaths offers many different solutions for generating or updating the market rates file, such as a direct, seamless integration with Bloomberg to source and construct a market rates snapshot. Clients can now watch the recording of this webinar here, where we provide guidance on how clients can seamlessly construct from scratch or update an existing market rates file from a CSV file specification. The slide deck, which contains a more comprehensive appendix featuring the structure for each supported section is available upon request by e-mailing us at support@polypaths.com.
Registration for NEXT 2023 is now available. NEXT is our parent company’s (Numerix) annual user conference for sharing information, collaborating, and networking with our clients, partners and prospects. This year’s event will be a high-level look into the company’s growth and product strategy. Full details and registration are available here.
The October 2023 issue of Pathways is now available! For this month’s case study, Kedron Wolcott, walks through an example of High-Performance Scenario Calculations (HPSC) on a book of TBAs. His analysis utilizes our stochastic scenario generator in conjunction with PolyPaths’ Enterprise solution to arrive at a table of P&L values spread across interest rate scenarios derived from PolyPaths’ industry-leading LIBOR / SOFR Market Model, with deep dive analysis available for any path(s) of interest. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.