Many Asset Managers invest in derivatives or structured products, or utilize derivative overlays to enhance investment returns or provide downside protection. However the derivative marketplace has changed since the financial crisis, as new regulations like Dodd-Frank and EMIR move many OTC derivatives to central clearers or trading on exchanges, and Asset Managers must adapt to the changing market dynamics in order to effectively manage their derivative portfolios.
Numerix has the solutions needed to help Asset Managers deal with the complexities of the new marketplace, providing them with the accurate, fast and flexible analytics they need to price and manage the risk of their derivative trades.
|•||Price any derivative in real-time, from vanillas to exotics across all asset classes, using market-standard practices such as OIS discounting and collateral discounting||•||Perform initial margin or collateral calculations during pre-trade counterparty discussions or post-trade validations, to optimize counterparty choices and reduce disputes|
|•||Perform investment strategy analysis and back-testing, as well as derivative overlay research and hedging analysis||•||Calculate risk sensitivities/Greeks and manage market risk via scenarios/stress tests, VaR and expected shortfall analysis|
|•||Produce risk sensitivities/Greeks, scenario analyses, VaR and Expected Shortfall for market risk management||•||Produce post-trade valuations for fund NAVs and client reporting, and/or obtain independent valuations to validate NAVs|
|•||Reverse engineer counterparty quotes to validate the prices and understand the valuation adjustments (such as CVA and FVA) embedded in quotes||•||Manage counterparty credit risk and limit counterparty concentrations|
|•||Integrate market-standard derivative pricing and risk analytics into proprietary applications, to dramatically reduce the time and expense relative to building the analytics from scratch|