Please join us on Wednesday, May 15th to walk through several of the key highlights of version 7.14, including expanded risk analytics, new reporting options, an enhanced portfolio comparison tool, and additional flexibility for loan and MSR cash flow modeling. Full details and registration are available here.
The April 2024 issue of Pathways is now available! For this month’s case study, Aaron Leclair explores additional use cases supported by PolyPaths ALM, in particular where sophisticated reinvestment rules are required and where accounting and balance sheet considerations are not needed. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
Together with Moody’s Analytics, we provide an overview of Moody’s coverage and key features and as well as how Moody’s cash flow models may be leveraged for structured product analysis within PolyPaths, including global RMBS, CDO/CLO, ABS, and CMBS. We walk through several step-by-step examples to illustrate the initial setup, portfolio creation, viewing descriptive details at the deal-level as well as collateral-level, base case valuations and risk, cash flow reporting, what-if analysis and automation.
To learn more clients can now watch our webinar here.
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.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
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.
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!
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.