Pathways Issue No. 54

The March 2024 issue of Pathways is now available! For this month’s case study, Daniel Wang provides an introduction to PolyPaths Historical Return Analysis module. This feature allows clients to break down the P&L and return on a portfolio between two dates into components such as position close-outs, paydowns, trading, interest income and mark-to-market valuation impacts. To access the newsletter please click here.

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CCAR 2024 in PolyPaths

PolyPaths offers a detailed stress testing FAQ along that walks through a step-by-step example of building the Comprehensive Capital Analysis and Review (CCAR) scenarios in PolyPaths. The document starts with the manual version for illustration of what each step is doing, but then moves into how to automate the entire process including bulk import of the scenario definitions and export of the results. Sample reference files for the 2024: baseline, severely adverse, exploratory A, and exploratory B scenarios are also available with the scenarios in both CSV and SCN format. Please reach out to us at support@polypaths.com to receive these files.

BGM Finding Skew February 2024 Update

We are pleased to announce the latest Finding Skew update for February 2024 is now available. A historical regression approach can be used to imply a market skew over a time series of pre-selected benchmark European swaption volatilities. Our paper outlines a process to estimate skew and applies this process to estimate recent skew patterns in both the CEV and Displaced Diffusion BGM model extensions based on recent 2024 market data. Reach out to us at support@polypaths.com to obtain a copy!

Meet PolyPaths at SFVegas 2024 Conference

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!

Pathways Issue No. 53

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.

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Pathways Issue No. 52

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.

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Pathways Issue No. 51

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.

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Charting the Course for Structured Credit Markets in 2024 Webinar

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.

Pathways Issue No. 50

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.