Introducing the BondEdge Multi-Factor Term Structure Model

Dear Fixed Income Professional:

We invite you to register for access to the replay of our recently recorded webcast: Introducing the BondEdge Multi-Factor Term Structure Model

Recording Info:

Topic:
Recorded:
Duration:
Cost:

Introducing the BondEdge Multi-Factor Term Structure Model
Thursday, February 25, 2010
1 hour
Free

Recording Description:

During this webcast, the BondEdge research team presented the fundamentals of the Multi-Factor Term Structure Model being used within BondEdge starting in early 2010. In addition, they discussed the motivation for choosing the G2++ model and the impact on modeling swaption volatility surfaces was provided. Finally, there was a review of model results for the securities affected in the initial release of the new model, namely, fixed and adjustable mortgage pools, CMO tranches and floating rate notes. Particular emphasis was placed on interest rate path generation, Monte Carlo simulation and expected improvements in projected risk measurements.

Register yourself and/or the appropriate colleague today!

Panelist Info:

William Burns, Ph.D.
Senior Vice President, Director of Quantitative Research
William Burns, Ph.D., is Director of Quantitative Research at Interactive Data Fixed Income Analytics. In this role, Dr. Burns leads the Research team that develops and supports the quantitative models (e.g., term structure, option and prepayment) as well as all security-level analytics integral to our bond- and portfolio-level product offerings and services. Prior to joining Interactive Data Fixed Income Analytics in 1996, Dr. Burns served as Adjunct Professor of Mathematics for Chapman University and the University of California Irvine. Dr. Burns holds a Ph.D. in Applied Mathematics from the University of California, Irvine.

Sincerely,
Jeffrey Foley
Vice President, Director of Analytic Solutions
Interactive Data Fixed Income Analytics

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