overview

Numerix Model Performance Reporting is a subscription service providing in-depth testing of all standard Numerix models, and expert opinions as to model use and suitability of the models based on market conditions. These quarterly reports cover all key elements required from regulators and internal audit including model use parameters, limitations and extensive testing and analysis of results.

 

All reports include:

  • Model definition
  • Purpose and intended use for which models are designed
  • Assumptions & Limitations
  • Performance metrics and analysis of results
  • Summary conclusions and expert opinion on performance under various market scenarios

 

Available Reports

Interest Rate

  • LMM
  • HW1F
  • HW2F
  • BK
  • Shifted BK

Foreign Exchange

  • Heston
  • Black
  • LSV
  • Dupire

Equity

  • Heston
  • Black
  • LSV
  • Dupire
Benefits & Features

Benefits

  • Understand Model Behavior
    Numerix Model Performance reports helps users ensure models have been implemented properly, perform as expected good hedges in all market conditions and to understand model behavior and limitations under extreme market scenarios
  • Regulatory Ready
    Standardized reporting assists firms in meeting key regulatory requirements as part of model risk management directives as per the Basel Committee on Banking Supervision directive 21 and Solvency II, financial institutions. 

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