Yield Curve Extrapolation Webinar
Posted on 18-06-2009 by John Hibbert | 0 comments
We are always keen to share our latest thinking with our clients. As our client base has grown over the past few years it has become less practical to meet everyone face-to-face to share our thoughts and analysis. Fortunately the internet provides a medium for us to connect with clients all over the world and so we decided to experiment with running webinars to share our thinking.
The choice for our first webinar was easy. I have recently spent some time in Asia, speaking at conferences and visiting firms and regulators. Probably the most topical discussion point was unrelated to stochastic projection - the construction and extrapolation of yield curves. I suppose this isn’t surprise, given many of the Asian markets don’t have bonds with long maturities and many insurance companies have long-term liabilities. This maturity mismatch problem is the first hurdle to applying market consistent valuations in these markets.
We reviewed our approach to this last year and developed a methodology which extends the yield curve beyond what it available in the market, in an economically intuitive and sensible way that, we believe, is in line with broad Market-Consistent principles.
We presented this approach during two webinars on the 17th and 18th of June 2009 and have now posted these sessions on our knowledge base if you want to “listen" again.
Please help us understand if this experiement was successful by posting a comment to this entry - we welcome your feedback and suggestions for future webinars.
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