NxR2

NxR2

Real-time Pricing, Hedging & Capital Management

NxR2 is a real-time pricing, portfolio construction and risk management application designed to help active trading desks, structurers and risk managers to independently price and risk profile complex credit portfolios. Leveraging Numerix’s advanced pricing models and the R2 proprietary methodologies, the system allows users to create profiling strategies in real time, perform advanced analyses of their portfolios (such as roll down, carry and aging) and provide transparency and clarity around portfolio and position risks and the impact of market changes.

Drill Down, Roll Up, Slice & Dice Reporting

The user interface and dashboarding capabilities built into the NxR2 platform give it the sort of front end usability that enhances productivity and provides more time for doing actual analysis. Rather than spending time on data cleaning or formatting reports, the pre-configured capabilities (such as widgets) allow users to quickly build new ways of looking at their positions, portfolios or result sets.

Flexible Calibration Capabilities

Knowing that our customers have to understand both model-based pricing and the reality implied by the current market levels, NxR2 is designed to enable a robust calibration between the two. Theoretical model prices can be compared to market prices and the differences stored and reported on to ensure that risk management tools can account for either by using them in further downstream analyses.

One of a Kind Scenario Studio

Built into NxR2 is a scenario analysis capability that offers a unique blend of macro-level tools with the ability to perform what-if analyses at a very granular level. The Scenario Studio was engineered to provide the ability to create predictive conditional scenarios. Users can create dynamic relationships between shocks using individual risk factors within each scenario. This enables users to create a completely custom analysis quickly, which can be easily reproduced or changed as the markets move.

Advanced Pricing Engines

NxR2 includes a number of R2 proprietary models as well as industry-leading Numerix specialized credit models, including:

  • Advanced NPV Models where users can set name specific credit and liquidity spreads to price fixed income products
  • Default Recovery Model to value trade claims, bankrupt assets, assets under receivership or assets that model as a recovery from default amount
  • Weighted Monte-Carlo Model to value structured finance assets using an option based framework
  • Cutting edge models like Stochastic Volatility Libor Market Model, Generalized Jarrow-Yildirim and Black-Karasinski
  • Hybrid Model incorporates stochastic processes for capturing correlations in a way consistent with market-observed behavior

NxR2 provides advanced analytics such as:

  • Bucketed duration and exposure (IR01, CR01, DV01, jump-to-default)
  • Greeks
  • Advanced FX analysis
  • Gross Capital-at-Risk
  • Net Capital-at-Risk
  • Leverage
  • Carry ($ or %)
  • Yield Carry ($ or %)
  • Levered and Unlevered Yields

Product Coverage

  • Structured finance assets (ABS, MBS, RMBS, etc.)
  • Lever Credit derivatives (CDS, LCDS, nth to default basket)
  • Credit indices
  • Synthetic CDs (Synthetic CDO tranches,Bespoke CDOs)
  • IR, FX and Equity Derivatives
  • Equities (Stocks, Preferred, ADRs)
  • Fixed Income (Treasuries, Corporates, Munis, Callables, Loans, Convertibles)
  • Cash CDDs (CLOs, RMBS CDOs, multi-sector CDOs)
 

Solutions for Pricing and Profiling Structured Credit Portfolios

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