Numerix Pricing & Valuation Research & Inisights




What happens when historically non-correlated assets quickly move together in the wrong direction all at once? As the 2008 financial crisis revealed, a more sophisticated treatment of correlation was required amongst financial market participants...
Blog
While many of the objectives — such as tackling capital adequacy, collateral and liquidity challenges — behind Basel III are well understood by now, how to go about implementing these goals still remains perplexing.  From liquidity management to the...
Written Blog

Despite the fact that the foreign exchange forward is the most widely used derivative instrument amongst corporate hedgers, some experts are now questioning the effectiveness of utilizing forwards when it comes down to hedging emerging market...
Video Blog
Nested stochastic simulations – where one stochastic process is affected by other variables that also have stochastic processes, requiring simulations within simulations – have become more important to both insurance and banking practitioners in...
On-Demand Webinar
Structured Products | December 8, 2014 | By Richard Jory
In this Q&A article Numerix CEO, Steve O'Hanlon discusses his hopes and fears for the Structured Products market in 2015.
 
In The News

In this video blog, Dr. Alexandre Antonov, Senior Vice President of Quantitative Research at Numerix, discusses how the recent development of the Free Boundary SABR model for option pricing is a natural and efficient extension of the classical SABR...
Video Blog
GARP | March 20, 2015 | By Maureen Nevin Duffy
Steve O'Hanlon, Numerix CEO discusses Numerix's model validation studio as an automated testing environment for model risk quantification and model governance, and as an extensive testing regime that...
In The News

In this video blog Satyam Kancharla, Chief Strategy Officer and SVP of the Client Solutions Group breaks down the key components of the Fundamental Review of the Trading Book. Specifically he addresses Expected Shortfall vs. VaR, Liquidity Horizons...
Blog

In advance of formal regulation, Alex Marion, Vice President of Client Solutions Group for Insurance at Numerix discusses the best practices U.S. insurers are utilizing to manage model risk. With the introduction of capital markets models alongside...
Video Blog
Risk | March 2, 2015 | By Nazneen Sherif
This articles examines the growing acceptance of KVA, capital valuation adjustment, which reflects the capital a trade consumes over its lifetime. Jim Jockle, Numerix CMO discusses Numerix's ability to...
In The News

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