Next generation technologies and the future of trading
In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed.
The Art of Effective Market Risk Management During a Period of Transformation
White paper | The Art of Effective Market Risk Management During a Period of Transformation
SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience
During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry.
QuantMinds 2020: Modelling Energy Curves for XVA
This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility.
Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021
In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination.
Risk.net | Modifying Market Risk Management – A Year After Covid-19
Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future.
Adopting a Cloud-Based Risk Management Strategy
In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms
Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers
In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today.
Quantitative R&D Innovations Update
In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation.
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Neural Networks with Asymptotics Control
In this webinar you will learn more about some of the advantages and use cases for applying machine learning, deep learning, and neural networks in mathematical finance.
Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics
In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation.
Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads.
Risk.net | LIBOR Telethon: Derivatives, Trading and Liquidity
In December, Risk.net hosted a LIBOR Telethon where they sourced dozens of pressing questions from the Risk.net audience and hosted a live Q&A session with a panel of industry experts.
The Impact of New Alternative Reference Rates on Curve Instruments and Curve Modelling
In November 2020 Numerix had the privilege of participating in Asia Risk Congress, Asia's leading risk management, derivatives and regulation event. At that event, Thomas Chan, Director, Financial Engineering for Numerix based in Hong Kong presented on-camera an in-depth presentation exploring the LIBOR Transition. With LIBOR cessation on track for a December 2021 end, the goal of this presentation is to bring the Asian markets up to speed on transition progress.
Adapting Market Risk Management Practices Amidst COVID-19
Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID.
The State of Capital Markets Post COVID-19: Major Paradigm Shifts
In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic.
Transición a SOFR y su impacto en el mercado colombiano
Augusto Carvalho, Director Regional de Preventas de Numerix, Andrés Galindo, Director de PiP Colombia, Laura Carolina Cardona, Estructuradora de productos derivados y divisas, y líder del frente de derivados en el proyecto de cambio LIBOR del Grupo Bancolombia quienes brindarán una actualización profunda del mercado global y colombiano respecto al progreso de esta transición.
Aite Impact Report
A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front.
Regulatory Guide to Understanding Bank Capital and Margin Requirements
Extensions and revisions of bank capital and margin requirements have given rise to increased interest in capital calculations and the methods employed. Our blog showcases insights on this topic from Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix.
Numerix Celebrates 20 Years of Innovation in Pricing and Risk
In this blog, we discuss our experience at Numerix as a company embarking on our 20th year in business. We are proud of both the legacy behind us and the exciting future before us.
Numerix Journal Vol. 2, No. 2
In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling
Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments
In this Cutting Edge research article, published in the November 2015 Issue of Risk Magazine, Drs. Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation.
"Hot-start" Initialization of the Heston Model
The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.
Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates.
Research In Brief | Negative Rates: The Challenge and the Opportunity
Dr. Ion Mihai, explores how negative interest rates have recently become a critically important issue in finance.
Bringing Real-time Risk into the Decision-making Process
Satyam Kancharla discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making.
Numerix Journal Vol. 2, No. 1
In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions.
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Advanced Analytics for the SABR Model
In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing.
Backward Induction for Future Values
Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model.
Real-World Equity & Volatility Behavior
Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.
Numerix Journal Vol. 1, No. 2
In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities.
Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Fast-Reversion Limit of the Heston Model
In this research paper, Dr. Serguei Mechkov examines the Heston model.
Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models
Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years.
Numerix Journal Vol. 1, No. 1
In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.
Model Risk: The Challenges of Legacy Code and Best Practices
In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation.