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.

Webinar highlights:

  • 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. 

 

Date and Time

Date: August 12, 2020
Time: 12pm HKT / 2pm AEST (45 Minutes)
Location: Your Desk (computer audio only)
 

Presenters

Michael Beattie

Sumit Kumar
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.

 

Jay Hinton

Ephraim Hirschfeld
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.

 

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