NUMERIX ON-DEMAND SOLUTION WEBINAR
FINCAD Analytics Suite:
Current Rate Dynamics & RFR Curve-Building

NUMERIX SOLUTION WEBINAR
Peter O’Connor, Product Manager, FINCAD Analytics Suite, Numerix
 
Why Attend?
Get a first-hand look at FINCAD Analytics Suite for Excel’s powerful curve-building capabilities, enabling firms to easily construct curves for risk-free rates (RFRs) in a fluctuating interest rate environment.


Presenter: 
Peter O’Connor, Product Manager, FINCAD Analytics Suite, Numerix  
 


While building RFR curves may seem simpler than managing inter-bank term rates like LIBOR, there are still nuanced areas that demand attention.

In this solution webinar, we explain how to navigate RFR curve construction in the context of a fluctuating interest rate environment. Special focus is given to the impact that a six- to eight-fold rate widening environment has on calculating MTM for books of swaps in terms of avoiding mispricing.

Join us to discover how FINCAD Analytics Suite for Excel empowers you to calculate precise analytics for curve construction, such as key rate duration, risk bucketing and market scenarios, in real time.

Mr. O’Connor gives a live demo and covers the following topics:

  • How to set a robust foundation for accurate curve construction
  • Managing pricing and analytics challenges amidst interest rate fluctuations
  • Nuances of handling in arrears futures quotes and reflecting fixings in curves
  • The importance of payment delay in RFR swaps for curve construction
  • Navigating meeting date impacts and liquidity events for implied 1d forward rate curves

 

Featured Speakers:

Peter O’ConnorPresenter: Peter O’Connor, Product Manager, FINCAD Analytics Suite, Numerix

With over 15 years’ experience in the financial services industry, Peter serves as the Product Manager for FINCAD Analytics Suite at Numerix. In this role, he is charged with ensuring that the FINCAD Analytics Suite library is kept current with evolving market practices and client requirements, and ensuring quality enhancements with a focus on roadmap, development standards and managing client satisfaction.

Prior to joining Numerix, Peter held key derivatives pricing and risk analyst roles at leading financial institutions including HSBC and BNY Mellon among others. He attained a MSc in Financial Services from the University of Limerick and is also FRM certified in Risk Management.

Udi_SelaModerator: Udi Sela, SVP, Product & Field Marketing, Numerix

Udi Sela has been active in foreign exchange derivatives markets for over 25 years. As a senior derivatives trader and trading manager at Citibank and JPMorgan, he developed expertise in derivatives spanning both vanilla and complex FX options. After his trading career, he has led product development, pre-sales and business development functions within a range of financial software vendors. Mr. Sela is currently responsible for product and field marketing at Numerix.

 

 

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