Our Approach to Valuation Services

The Numerix valuation team is comprised of market practitioners with many years’ experience ‘working on the desk’ in some of the largest derivatives houses globally. Skilled in advanced modeling and exotics, the Numerix team utilizes the Numerix model library to produce accurate and transparent valuations.

Market Data

To ensure ‘best of market’, our team of experts sources 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.

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.

Northern Trust Corporation

"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

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.



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