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.
The November 2022 issue of Pathways is now available! In this month’s issue, Parmeet Singh dives into stress testing, exploring how both regulatory and user-defined scenarios may be run in an automated fashion within PolyPaths. PolyPaths Enterprise and ALM in particular can be used to easily import, modify, and analyze large numbers of instruments across a wide set of scenarios. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
The October 2022 issue of Pathways is now available! In this month’s issue, Andy Lui outlines ways to measure risk during a period of rising mortgage rates, using both PolyPaths’ knob duration and user duration functionalities to illustrate ways user can pinpoint the risk posed by today’s mortgage rate levels. To access the newsletter please click here.
If you would like to be added to the distribution list, please email pathways@polypaths.com.
Modeling SOFR as part of the LIBOR transition is seamless within PolyPaths. This webinar focuses on touchpoints in ALM where users can elect SOFR indexes, review current SOFR rates, and see how these rates evolve within scenarios. We focus in on how these numbers flow into PolyPaths ALM from the Desktop and Enterprise products and how they are utilized within new product generation. Clients can watch the webinar here.
We are pleased to announce the latest Finding Skew update for Fall 2022 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 2022 market data. Reach out to us at support@polypaths.com to obtain a copy!
PolyPaths’ Enterprise solution for trading and risk management leverages the powerful analytics library used in PolyPaths Desktop and the computational scalability provided by PolyPaths Distributed Processing, adding a database backend and a browser interface designed for easily managing large amounts of data in a centralized location. Clients can now watch our webinar here, where we provide a live walk through of the system, showcasing Enterprise’s key features, such as centralized data management, job scheduling, robust reporting, permission control and audit trails, and the integration with our Desktop and Asset Liability Management (ALM) products.