Beyond Greeks: Multi-Factor Scenario Analysis for Convertible Bonds
Convertible bonds react to equity moves, volatility shifts, credit‑spread changes and rate swings simultaneously, making single‑factor measures inadequate. Scenario analysis tackles this by shocking several drivers at once, revealing hidden downside and convex upside that daily Greeks miss.
For trading desks, these “what‑if” drills become playbooks: they pre‑set sizing, hedges and exit triggers for everything from equity spikes to credit blowouts. Crises like 2008 and 2020 proved that portfolios modeled this way stay nimble—and can even profit—when real markets sprint into the extremes already mapped out by the hypothetical scenarios.
But conducting scenario analysis is not necessarily straightforward – how can traders utilize this tool to get a clearer view of where real risks and opportunities lie?
Join Joseph O’Reilly of Numerix on May 1, 2025 at 10am EDT as he provides a primer on scenario analysis specifically designed for convertible traders, so you can gain foresight – rather than hindsight – into how your portfolio will behave in different market regimes.
Joseph will cover:
- The value of scenario analysis for convertible trading
- Common challenges in conducting scenario analysis
- Best practices in scenario analysis
- Example scenarios and use cases
- Data management considerations
- Technology’s role in scenario analysis
Featured Speakers
Joseph O'Reilly
Joseph O’Reilly has over 20 years of experience in the convertible bond market. He is the Product Manager for Kynex and leads the platform’s development. He led the quantitative and software engineering teams at Kynex prior to the company’s acquisition by Numerix. He started as a convertible bond analyst researching the global convertible market, maintaining market and reference data, and working closely with the quantitative team.
Joseph earned an MBA in Finance from Fordham University, and he graduated Summa Cum Laude with a BS in Business Administration (Finance) from the University of Rhode Island.
Greg Murray
Greg Murray is responsible for increasing awareness of the Numerix brand in financial markets around the globe, as well as conducting strategic industry research for different departments within Numerix. Previously, he oversaw product and field marketing initiatives at the company, and he started his tenure in a sales role. Prior to Numerix, Mr. Murray worked in derivative analytics sales roles at other software firms, and he held derivative trading positions for seven years as an option market-maker and proprietary trader across a variety of asset classes.
