05/2024: Key Rate Durations Analytics for all Instrument types (Equity and FX Derivatives, Swaps, Inflaton Linked Bonds, FRNs,…)

09/2023: Stable KRD Measures for Bermudan and American Callable Bonds under stochastic Models (Key Rate Durations, KR01 values, KRD analytics for credit and inflation curve scenarios)

03/2023: Pricing of Infrustructure and Direct Property
A direct investment in a Commercial Real estate is largely accomplished by REITS (Real Estate Investment Trusts) or Pension funds. The attraction for pension funds is to buy into cash flows from the rental income that have a long duration. Pension funds need to match their long-dated liabilities and are willing to hold illiquid assets.The approach relies on a restricted amount of information used to build a set of cashflows that UnRısk can treat as bond coupon.

01/2023: Pricing of Limited Price Indexation (LPI) Swaps
The LPI is a UK inflation index used to define typical payoff structures of UK pension schemes. LPIs have annual returnns that are equal to the corresponding annual UK inflation rates capped and floored at specific levels, for some strike levels. 

11/2022: LIBOR Replacement using compounded RFR (Risk Free Rates)
In contrast to LIBOR reference rates, which are fixed a priori for a interest rate period, the compounded in arrears methodology involves the aggregation of overnight reference rates over a period whereas the final value is known at the end of the interest calculation period. The market has developed the concept of a lookback or lag period which allows to know the final interest rate payment a few days before the end of the interest calculation period. The valuation functions have been adapted to be able to handle the new risk free rate approach -several methods and models have been implemented (Cumulative Compounded Rate, Non Cumulative Compounded Rate, Average Compounded Rate) 

09/2022: Improvements in Dupire Model Calibration
Challenges in Dupire Model Calibration 

07/2022: Extension of Bermudan Callable/Putable Bond Pricing framework to handle Exercise Dates and Redemption dates different from Coupon dates and simulatniously Callable and Putable Bonds.