On June 18, the first day of Module 2 of the UnRisk Academy (Case Studies) took place at a customer's site. This day was devoted to fixed-income instruments and the analysis of their market risk from the very vanilla type to moderately structured instruments with possible path-dependencies and/ or early exercise rights.
With UnRisk-Q installed on the classroom computers, the participants got hands-on experience in the influence of shifting interest rate curves, changing models or playing with detailed term sheet conditions.The figure shows the survival probability of a nine year coupon bond which is Bermudan callable on every (annual) coupon date, where these survival probabilities are either calculated in the risk-free measure of a Hull-White-model (blue) or of a Black-Karasinski (violet) model, models whose properties were extensively studied in module 1.
Module 2 will continue with the analysis of instruments where a twist in the interest rate curve plays a role (like CMS spreads), with more path dependent instruments like target redemption notes and with hybrid products. More information in the UnRisk Academy
Module 2 will continue with the analysis of instruments where a twist in the interest rate curve plays a role (like CMS spreads), with more path dependent instruments like target redemption notes and with hybrid products. More information in the UnRisk Academy