August 5, 2020
Curve Modelling and Valuation in a SOFR-Based World
Join Charles River's Explore & Learn webinar series. Discover new ways to leverage the Charles River Investment Management Solution as our product experts discuss and demonstrate the latest product capabilities.
Charles River product experts Sumit Kumar and Ephraim Hirschfeld will continue our Explore & Learn webinar series with a look at analytics and valuation considerations surrounding the Secured Overnight Financing Rate (SOFR) adoption. The webinar will help asset managers and owners navigating the LIBOR transition gain a deeper insight of operational and technology challenges and solutions.
Topics will include SOFR valuation methodologies and requisite adjustments and a deep-dive into the complexities associated with curve construction.
- Valuation under new SOFR discounting framework and adjustments
- SOFR curve construction
- Index replacement and Basis adjustments
- Other considerations
The webinar is a 35-minute presentation and discussion followed by Q&A.
Senior Product Manager
Sumit is a Senior Product Manager for OTC Derivatives at Charles River Development. He has over 15 years of experience in Derivatives and Risk Management on both the buy-side and sell-side. Prior to joining Charles River, he was a Derivatives and Risk subject matter expert at Calypso Technology, a Derivative Product Manager at Wellington Management, and a Model Validation Quantitative Analyst at Lehman Brothers. Sumit is currently a PhD candidate in Quantitative Finance at the Indian Institute of Management and holds an MBA in Corporate Finance from the IE Business School. Sumit is also a certified PRM (Professional Risk Manager). Sumit is also a regular speaker at industry conferences for risk and derivatives.
Senior Product Manager
Ephraim is responsible for managing the Analytics product team at Charles River. Ephraim has over 10 years’ experience in buy-side financial services, specializing in ex-ante risk modeling, analytics, derivatives and fixed income securities. Prior to joining Charles River, Ephraim served in product management and risk management consulting roles at Intercontinental Exchange and Wilshire Associates respectively. Ephraim holds an MS in Mathematical Finance from the University of Southern California.