Numerix Market Risk

Numerix Market Risk

Complete Risk Profiles for All Your Positions

If you manage derivatives that are lightly traded, have complex features, or consist of multiple underlyings, it is vital to have an infrastructure capable of providing timely risk insight to help you answer the tough questions about risk.

Numerix works both inside and outside of your company’s production environment to help traders, quants and risk managers gain better insight into all instruments in your OTC portfolio, including fixed income, equity, FX, commodity, credit and inflation-linked derivatives and structured products.

Addressing Key Risk Management Needs

  • View risk at the portfolio or trade level, by desk, type, sector, region, currency or other custom groupings
  • Intra-day Monte Carlo VaR for all positions using Numerix’s highly efficient “One-Step” method
  • Scenario-based portfolio replication and hedging
  • Perform multiple market shifts simultaneously (instrument-quote, zero-rate and jump-to-default shifts)
  • Analysis of hedge effectiveness
  • Incremental risk charge of new trades
  • Fast trade reconciliation
  • Risk model validation
  • Market risk capital requirements
  • Back-testing for regulatory reporting

Any Risk Measure, Any Model, Anywhere, Any Trade

Numerix can provide a major upgrade to your risk capabilities through comprehensive reports for your entire OTC portfolio, giving you control over the model choice and deal structure, as well as where and how the analytics can be accessed.

A Wide Range of Risk Analyses
  • All Greeks for all instruments (including structured products!)
  • Scenario VaR types
    — Historical VaR
    — Stressed VaR
    — Monte Carlo VaR
  • VaR analysis
    — Incremental VaR
    — Marginal VaR
    — Component VaR
  • Expected tail loss/shortfall
  • Volatility (variance/standard deviation)
  • Custom risk reports
  • Counterparty credit (Numerix CVA)

Model Flexibility

With Numerix, the choice of model is independent from the instrument—giving trading desks and portfolio managers the flexibility to use different models on their books, while maintaining a transparent and consistent modeling framework across all trade types.

The Numerix model library includes a wide range of single- and multi-factor models with complex stochastic processes for market-consistent volatility dynamics. We’ve also implemented a unique hybrid model framework for capturing correlation in instruments and portfolios with multiple underlyings. To construct a hybrid model, you simply select the best model for each factor, define correlations and utilize a joint calibration process at the time the model is created.

Available Anywhere — Inside or Outside Your Risk System

Numerix Market Risk solutions are available through grid-enabled stand-alone applications, pre-integrated partner solutions or integrated into your existing risk platform. All of these are built on a common analytics library, allowing you to implement consistent pricing and risk across your enterprise.

Unlimited Instruments

From vanillas to bespokes, Numerix supports any describable financial instrument, including TARNs, PRDCs, variance swaps, barrier options and much more. Through an easy-to-use interface, users can quickly set up trades using templates or structuring wizards, with the option to customize them further through simple payoff scripts. This highly flexible structure ensures that your analytics can evolve with your needs as new instruments are added.


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