A Full-Service Valuation Solution
Bringing expertise across the full spectrum of derivative instruments, Numerix offers the industry's most sophisticated full-service portfolio valuation solution — helping clients tackle complex enterprise valuation needs by leveraging our:
- Human Capital
Over 60 full-time math and physics PhDs on staff, including a team from the world-renowned Los Alamos National Laboratories, with expertise in derivatives valuation, model research and computation methods
- Cross-Asset Coverage
Support for all major asset classes, including fixed income, inflation, credit, equity, foreign exchange and commodities, as well as hybrids
- Infinitely Flexible Financial Modeling Framework
Allows us to quickly define and value any conceivable instrument type, including bespoke deals
- Technology Infrastructure
We've designed the industry’s fastest grid computing infrastructure for complex derivatives, enabling timely delivery of valuations
Our Approach to Enterprise Valuation
We use a robust four-step process to deliver timely and accurate valuations based on clients’ needs, including reports on a daily, weekly, monthly or quarterly basis.
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- Source market data from the leading data providers in each asset class and perform data validation — ensuring that data sets are complete and sensible. In many cases, Numerix will create multiple sets of market data on a daily basis that can be used to calculate the high, low and closing prices for a given transaction.
- Calibrate models to market data. Numerix creates a pricing environment based on the underlying portfolio of trades that specifies how the calibration should take place. In some cases, specific trades require very specific calibration strategies, while other trades can be revalued based on a single globally calibrated model.
- Normalize transaction data sent by the client and prepare data for integration into the Numerix calculation grid. This can be achieved quickly when coordinated with the client’s IT department. Numerix can provide templates in Excel, XML or other file formats to make this initial process more efficient. For more exotic trades, Numerix financial engineers provide support on structuring and deal payoff.
- Generate customizable valuation reports, including mark-to-market, P&L, call probability, OAS, Delta-Gamma ladders, Vega grids and jump-to-default.
Auditing Capabilities
With the Numerix valuation service, clients have the option of receiving a self-contained archive file that captures all valuation inputs, providing an audit record that is consistent, transparent and defensible. Clients can use this file to defend valuations to counterparties, investors, regulators, or even in court.
The archive includes trade definitions, market data, model assumptions and calibrations, and static data. Saved in XML format, users can easily import the file into Excel as a functional Numerix model, enabling them to view the information without the aid of IT or the need to restore a trading system from tape.