The March 2023 issue of Pathways is now available! In this month’s issue, Daniel Wang explores how VaR can be leveraged across large data sets where LIBOR data may terminate while SOFR may not cover an entire lookback period. To handle this, PolyPaths has introduced built-in and extendible fallback logic, allowing users to designate fallback curves and volatility surfaces that can be used as proxies for historical intervals for which the primary driver curve or vol may not be available. 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 Thursday, April 6th to explore the latest enhancements in our PolyPaths Enterprise Version 7.13 release. Full details and registration are available here.

Please join us on Thursday, March 30th to explore the latest enhancements in our forecasting tool, PolyPaths ALM Version 7.13 release. Full details and registration are available here.

Please join us on Thursday, March 16th to walk through several of the key highlights of version 7.13, including several SOFR-centric enhancements as part of the LIBOR transition. Full details and registration are available here.

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) 2023 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 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.

The February 2023 issue of Pathways is now available! In this month’s issue, Parmeet Singh takes a deeper dive into the Scenario Analysis functionality outlining the relevant parameters in creating deterministic scenarios, calculating risk and return measures against them, and validating results. 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 2023 issue of Pathways is now available! In this month’s issue, David Oh demonstrates how users can leverage PolyPaths Math Fields in combination with Sector Rules or Pricing Matrices to impose pricing adjustments based on both instrument indicatives and market data, using the example of moneyness-based prepayment tuners for illustration. 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 2022 issue of Pathways is now available! In this month’s issue, Anthony Schrader focuses on the Value at Risk or VaR framework in the System, which estimates the risk of the portfolio using historical market data over a specified time frame. Furthermore, he outlines how historical market data can be retrieved if not already captured and how additional data points such as SOFR volatility can be added to the market rate structure. To access the newsletter please click here.

If you would like to be added to the distribution list, please email pathways@polypaths.com.

For clients who missed our webinar on incorporating historical data within our ALM product, can now watch the webinar here. This webinar will start with how you can bring actual data history into reporting to display with ALM forecasts. We’ll define “pre-sim history” and “in-sim history” to broaden the topic. We will briefly touch on bringing actual data into math fields for the purpose of attribution. Lastly we will explore how to look back in time and how to look forward in time within each simulation to enliven ALM rules and the role of Additional Data accounts within ALM.

Please join us on Thursday, December 1st for an overview on how you can incorpoate historical data within a simulation in PolyPaths ALM. Full details and registration information are available here.