Numerix Portfolio

Numerix Portfolio

Numerix Portfolio is a powerful front-office application that provides a consistent valuation framework for pricing and hedging complex portfolios, including structured products and exotic derivatives.

Capture trades, import market data, access multiple market and pricing environments, monitor and revalue your portfolio—all using the most flexible deal-structuring tools and the industry’s most comprehensive cross-asset library of proven models and methods.


  • Front-office trade capture for any structured product
  • Uniform pricing and risk framework for all your positions
  • Advanced structuring capabilities for representing complex instruments, including custom payoff scripts
  • Full transparency in deal definitions and valuation
  • Consistent Greeks for both hedges and underlying assets
  • Multi-curve support, including OIS
  • Scenario analysis for sensitivities
  • Regulatory reporting
  • VaR-based limits
  • Monte Carlo VaR
  • Scalable technology platform
  • Database and grid computing functionality


The Foundation of Numerix Portfolio: Numerix CrossAsset

Clients have access to models for all asset classes, including: fixed income, inflation, credit, equity, FX, commodities and hybrids. Our cross-asset expertise has also allowed us to provide the industry’s only hybrid model framework for pricing multi-asset basket trades.


Comprehensive Reporting Capabilities

Our flexible risk reporting capabilities are essential in today’s post-crisis marketplace. Reports can be customized, and delivered with the required data and analytics, in specified formats.

Choose from an extensive list of reports, which can be run on the entire portfolio or a subset of trades:

  • Mark-To-Market
  • P&L
  • Greeks
  • VaR (Historical, Stressed, Monte Carlo)
  • VaR analysis (Incremental, Marginal, Component)
  • Expected Tail Loss / Expected Shortfall
  • Volatility (variance/standard deviation)
  • Back-testing reports
  • Historical Analysis Reports
  • Custom risk reports

Sample MTM report


Numerix supports several flavors of VaR including our advanced one-step Monte Carlo VaR


Back testing report compares daily VaR results to P&L results and records the number of excessions (number of times that daily P&L exceeds VaR)


Regulatory Reporting

Numerix Portfolio Integrated with SQL Server Reporting Services

  • Provides a seamless platform-independent solution to access all the reports stored in Numerix Portfolio
  • Enables Numerix Portfolio to be a data provider for data consumers like SSRS (SQL Server Reporting Service), Excel and other packages that can query for data using a web service call
  • Numerix Portfolio customers can use third party tools like SSRS to build custom reports
  • Reports can be displayed by the Numerix Portfolio data/pivot grid or the standard SSRS report viewer


Scalable Technology
Whether you need just a single asset class or a complete cross-asset solution—Numerix Portfolio can be easily scaled to meet your company’s needs, from a stand-alone desktop installation to desk-level deployment.

Risk Management with Numerix and Microsoft High Performance Computing (HPC)
Many financial services professionals are currently limited in their ability to perform valuations and assess risk by the computing power of their individual desktops. To increase performance, Numerix Portfolio and Windows HPC Server 2008 R2 have teamed up to provide the following benefits:

  • Rapid unified risk calculations
  • Accelerated on-demand valuations
  • Improved systems productivity
  • Interoperability and full transparency for deal definitions
  • Scenario analysis
  • Historical VaR

Speedup for 50,000 trades on an HPC cluster using Numerix Portfolio multi-level topology


Market Data Capabilities

Numerix supports an extensive range of market data, including the following:

  • FX Rates
  • Yield Curves, OIS Curves
  • Commodity Curves
  • Dividend Curves
  • Real Rate Curves
  • Cap Volatilities
  • Swaption Volatilities
  • FX Volatilities
  • EQ Volatilities
  • Cross Currency Correlations
  • Forward LIBOR Correlations
  • Credit Curves
  • Credit Index Model Correlations
  • Credit Index Base Correlations
  • General Rate Correlations
  • EQ, SR Futures, Comm, Tbond Prices
  • CPI

Numerix Portfolio meets today’s requirements for OIS and multi-curve support.