Valuation Services
A Full-Service Valuation Solution
Whether Numerix financial engineers are working alongside clients onsite, or through our vast partner network—Numerix provides unparalleled valuation expertise with the ability to price any instrument or portfolio. Numerix offers the industry's most comprehensive, full-service portfolio valuation solution—helping clients tackle their most complex enterprise valuation needs.
Our Approach to Valuation Services
Cross-Asset Coverage
Support for all major asset classes, including fixed income, inflation, credit, equity, foreign exchange and commodities, as well as hybrids and complex structured credit products, such as CDOs, CLOs, CDS, ABS, and RMBS.
Human Capital
Over 90 full-time PhDs on staff, with expertise in data interpolation, derivatives valuation, model research and computational methods. The Numerix valuation team is composed of leading financial engineers, business analysts, project managers, quantitative researchers and software developers.
Partner Network
Leveraging our vast partner ecosystem of over 50 partnerships—including the world’s leading valuation, trading, systems and data vendors—Numerix provides the most comprehensive valuation services available today. Whether you have bespoke projects or require a full-service solution, Numerix clients can view all models, calibrations, payoffs, indices, events, fixings, yield curves, volatility surfaces and interpolation methods—paving the way for the most transparent valuations and reporting capabilities.
Infinitely Flexible Financial Modeling Framework
Quickly define and value any conceivable instrument type, including bespoke deals, with our unique financial modeling framework.
Market Data
We source market data from the leading data providers in each asset class and perform data validation—ensuring that data sets are complete and sensible. In many cases, Numerix will create multiple sets of market data on a daily basis that can be used to calculate the high, low and closing prices for a given transaction.
Auditing Capabilities
Clients using Numerix Valuation Services have the option of receiving a self-contained archive file that captures all valuation inputs, providing an audit record that is consistent, transparent and defensible. Clients can use this file to defend valuations to counterparties, investors, regulators, or even in court.
The archive includes trade definitions, market data, model assumptions and calibrations, and static data. Saved in XML format, users can easily import the file into Excel as a functional Numerix model, enabling them to view the information without the aid of IT or the need to restore a trading system from tape.
Deal Structuring (Set-Up) Services
Numerix can also provide Deal Structuring (set-up) Services for our clients. We take our clients’ trade terms and conditions for exotic derivatives and apply the models, methods and calibrations to generate the most accurate and transparent, independent valuations available.
Case Studies
Lehman Brothers Holdings Inc. (LBHI)
Numerix was selected by Lehman Brothers Holdings Inc. (LBHI) to provide independent real-time valuations in the largest, most comprehensive derivatives valuation project of its kind. The signing of Numerix became a critical step in unwinding LBHI’s derivatives book and the ultimate reconciliation of outstanding creditor claims. Lehman performed an extensive search to identify a partner that could provide the analytics and technology capable to value the depth and breadth of derivatives products that were transacted in the Lehman derivatives portfolios.
"Our global alliance with Numerix brings a range of valuation capabilities and depth of knowledge to help our clients exercise greater control over valuation of [derivatives] while meeting the standard for transparency demanded by sophisticated investors."
- Peter Cherecwich
COO for Corporate & Institutional Services
Northern Trust
Northern Trust Corporation
With the need for increasing independence and transparency for OTC derivative valuations, Northern Trust needed to expand its capabilities—including transparency reporting for OTC instrument types. After a comprehensive search of independent valuation providers, Northern Trust selected Numerix to enhance its platform for processing over-the-counter derivatives and to provide daily independent pricing for structured products and other bespoke instruments. Moreover, Numerix financial engineers have been working alongside the derivative pricing teams at Northern Trust operation centers throughout the globe to provide clients with access to the highest level of valuation support.
Harmonic Fund Services
Harmonic Fund Services, a specialized global hedge fund administrator, selected Numerix to provide independent valuations and risk for OTC derivatives within Harmonic’s FM3 platform for alternative investment managers. Through the use of Numerix CrossAsset, Harmonic gains an enhanced ability to independently value a comprehensive range of financial instruments and transactions. The library is being integrated with Harmonic’s proprietary alternative investment platform, FM3, a comprehensive front-to-back office system which, supports portfolio management, risk, accounting, investor management, complex fees and compliance.
