Numerix Journal Vol. 3 No. 2
*SPECIAL ISSUE- CURVES & CURVE CONSTRUCTION * In the Vol 3 No 2 special edition of the Numerix Journal, we present three papers on curve-related topics, including multi-curve methods. We conclude with an article introducing Numerix multi-curve functionality, both current and planned.
FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact
Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare.
Algorithmic Differentiation for Callable Exotics
Dr. Alexandre Antonov studies the algorithmic calculation of present values greeks for callable exotic instruments.
Numerix Journal Vol. 3 No. 1
Vol 3 No 1 Issue of the Numerix Journal explores the economic rationale and numerical methods used to address the KVA problem, techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure, the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model, and offers an introduction to Numerix Model Validation Services and Model Validation Studio.
FRTB's Sensitivity Based Approach Two-Part Webinar Series
Numerix invites you to join us for a two-part on-demand webinar series covering FRTB's Sensitivity Based Approach. Featured speakers Dr. Paolo Tarpanelli and Mr. Juan Vargas discuss the importance of the Sensitivity Based Approach and its methodology, as well as offer case studies to show the potential business impact of these new FRTB regulations.
Understanding the Riskiness of A GLWB Rider For FIAs
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.
‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB
While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.
The Next Chapter of FRTB: What to Know About FRTB’s New CVA Capital Framework
What You Need to Know About FRTB’s New CVA Capital Framework
Samsung Fire and Marine Insurance Case Study
Samsung Fire & Marine Insurance (SFMI), a multinational insurance company based in central Seoul, South Korea, selected the Numerix Economic Scenario Generator for producing its risk neutral economic scenarios. With its principal products including automobile, long-term and commercial insurance, enterprise risk management, and annuities—SFMI is the largest Property and Casualty Insurer in Korea.
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Impact of Negative Rates on Derivatives Valuations & Risk Calculations
Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero.
CVA Greeks: Their Importance, Common Calculation Methodologies, & Testing for Accuracy
On April 13th Laure Darleguy discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence.
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.
XVA Best Practices: Regulatory Drivers, Analytical Challenges & Techniques for Recapturing Profitability
Dr. Victor Masch Vice President of Global Strategy at Numerix, reviews the state of the XVA ecosystem, their impacts on profitability, and offered insights into efficient ways to incorporate XVA into the management processes.
Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples
On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches.
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.
KVA for Counterparty Credit Risk Capital & CVA Capital
Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provides a quantitative introduction to KVA calculations for Counterparty Credit Risk (CCR) capital and CVA capital.
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.