Our Experience Towards AWS Adoption
In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS.
Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition
In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market.
April Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | FINCAD Acquisition, Banking Crisis Discussion, LIBOR Transition Insights
Explaining the Banking Crisis: What Happened, Its Wide Implications and Lessons Learned
A panelist of financial industry experts discuss how the banking crisis unfolded, the impact of inflation, threat of recession, and more.
Exos Financial Uses Numerix CrossAsset SDK Python to Scale Up Risk Analytics
In this video, Philippe Hatstadt, Chief Risk Officer of Exos Financial, discusses why and how his firm used Numerix CrossAsset SDK Python to fill a need for a comprehensive multi-asset and derivatives risk management analytics and valuation library that it could integrate into its own proprietary risk and valuation platform.
Six Themes that Characterize Trading in the Energy Markets Today
We explore certain trends and themes tied to today’s energy markets.
March Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology
Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis
In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis.
Using Emerging Technologies to Improve the Risk Management Function
This white paper shares the technology themes and insights discussed by a keynote panel of risk experts featured at the Risk USA event in October 2022.
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January Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | Leveraging Emerging Tech, Applying XVAs in Energy Markets, Turbocharging Greek Calculations
Numerix Journal Vol. 8 No. 1
The Vol 8. No. 1 Issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Many of these achievements have been implemented as new functionality in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix.
Machine Learning for Market Data Anomaly Detection & Gap Filling
Presenters share how Machine Learning can be utilized to improve the quality of historical data for market risk calculations.
The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges
Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans.
Turbo-charging XVA Greek Calculations
Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations.
Coalition Greenwich Report
Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk.
NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built
See examples of capital markets apps built with NxCore Cloud and understand the thinking behind them, to inspire you to build your own.
Portfolio Management Using Advanced Market & Credit Simulations
Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions.
Modernizing Risk Management Technology: Has the Game Changed?
How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks?
Structured Notes: Transforming Risk into Opportunities
In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products.
LIBOR Risk Q1 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
Neural Networks with Asymptotics Control
Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models.
The Market Impact of SOFR Discounting: What We Know So Far
Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far
The Capital Markets 2020: In the Eye of Two Storms
In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets.
Trading, Technology and the LIBOR Transition
Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.
Analyzing the Market Impact of SOFR Discounting
In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.
Numerix Journal Vol. 6 No. 1
The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process.
STIRs and OIS Futures in the Hull-White Model
This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.
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Talking XVA: Pace of Adoption, New Technology & Cloud
Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more
A "Playbook" for Automating the Front Office
This paper serves as a brief “playbook” on how to get started on automating the front office. Author, Jim Jockle, CMO of Numerix discusses several proven strategies.
Increased Adoption and Innovation Are Driving the Structured Products Market
In this white paper, we discuss how the structured notes business is becoming more digitized and why a broader range of market participants are now issuing these products.
Risk Magazine Cutting Edge Article | MVA Future IM for Client Trades and Dynamic Hedges
Alexandre Antonov, Serguei Issakov and Andy McClelland propose that IM for both sides should be forecast and reflected in MVA.
The Transformative Impacts of the XVA State of Play
In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
Risk as a Service: For Many, a Better Way to Derive Value from New Technology
Over the last several years, a vortex of regulatory, operational, technological, and growth challenges have caused significant shifts in banks’ operating environments and business models. This has created an environment ripe for the application of managed services.
The Value of Managed Services for Trading and Risk Management
In this white paper, we discuss the benefits of a managed services program, what derivatives businesses look for in managed services vendors, and the changing technological landscape.
Gain or Pain - Automating the OTC and Structured Products Markets
In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
LIBOR Will Not Transition Quietly: What You Need to Know Now
In this Q&A, we discuss the transition effort from the IBORs to the RFRs, characteristics of RFRs and other challenges assocaited with the transition
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.
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
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.
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.
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.
Real World Economic Scenario Generation: Typical Uses, Common Modeling Challenges & Practical Examples
On Wednesday, November 18th featured speaker Daniel Schobel outlined typical uses of Real World ESGs and discussed how insurers can overcome common modeling challenges they encounter.
A Primer on Solvency II for Insurers Around the Globe
On Wednesday, October 14th featured speaker Luca Trussoni, Senior Financial Engineer at Numerix, presented an introduction to Solvency II to help insurance practitioners around the world better understand the “big picture” of the directive.
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Real World Algorithmic Exposure: An Innovative New Approach for Nested Simulations
On Wednesday, September 16th featured speaker Dr. Ping Sun, Executive Director of Financial Engineering at Numerix, provided an introduction to Real World Algorithmic Exposure and outlined how it can be utilized by both capital market and insurance practitioners for advanced risk measures like RW PFE and for other RW/RN nested simulations.
Nested Stochastic Simulations: Bridging Risk & Pricing Models
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
The Free Boundary SABR: Natural Extension to Negative Rates
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Prudent Valuation: Bridging the Gap Between Pricing & Risk Management
Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand.
Indexed Variable Annuities - Evolving Product Designs in the Annuity Market
Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand.
The Case for Dynamic Replication of Indexed Annuities
Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand.
Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More
Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand.
Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives
Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand.