Morini Brings Quantitative Expertise to Numerix on Model Risk Management and Credit, Funding and Capital Adjustments

New York – April 2, 2014 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that Dr. Massimo Morini Head of Interest Rate and Credit Models at IMI Bank of Intesa San Paolo, and Professor of Fixed Income at Bocconi University in Milan, has joined the Numerix Quantitative Advisory Board. Established to further the standardization and advancement of pricing and risk for the OTC derivatives market, the Numerix Quantitative Advisory Board fosters thought leadership and quantitative excellence between leading academics and market practitioners, with Numerix’s award winning quantitative research team.

With expertise spanning a range of pricing and risk management subject areas, Dr. Morini has specialized insight into global regulatory changes and how they are affecting the banking industry. Specific to how banks are managing XVAs and measuring the profitability of derivatives, Massimo regularly delivers advanced training, workshops and leads expert panels on the financial crisis at major international conferences worldwide. He has published papers in journals including Risk Magazine, Mathematical Finance, and the Journal of Derivatives, and is the author of "Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators" and other books on credit and interest rate modelling. Massimo holds a PhD in Mathematics and an MSc in Economics.

“The goal of the Quantitative Advisory Board is to encourage collaboration with some of the world’s leading quants and develop cutting edge research for the entire financial community,” Steven R. O’Hanlon, Chief Executive Officer & President of Numerix. “Recognized for the strength and experience of its financial engineers, quantitative analysts, product specialists and depth of its global quantitative services actuaries, Numerix is committed to solving the industry’s most complex quantitative issues in risk measurement. We’re thrilled to announce the addition of such a well-known and well respected quant to the Advisory Board, and look forward to a dynamic partnership.”  

“The Numerix Quantitative Advisory Board is comprised of the top professional minds in quantitative research from universities and corporations around the world, and it’s a privilege to be working amongst such brilliant and well-established individuals,” said Dr. Massimo Morini. “It’s a great honor to be accepted as part of this distinguished board and I look forward to contributing my professional knowledge on fixed income modeling, model risk management, the interactions between various XVAs – CVA/DVA and FVA as well as collateral valuations, OIS discounting and multi curve pricing.”

Serguei Issakov, PhD, Senior Vice President and Global Head of Quantitative Research for Numerix adds: “Massimo has spent the last several years focused on all aspects of credit modelling, interest rate models and correlation modelling. With an aptitude not only for model development but implementation, Massimo has been successful in uncovering the practical side of model risk and communicating its implications to market practitioners and aspiring quantitative professionals. It’s a true honor to welcome Massimo and I very much look forward to future collaboration.”

About Numerix
Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 80 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Sao Paulo, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

Emily Ahearn
Director of Public Relations
Numerix
Phone 646 898 1294
Email: eahearn@numerix.com

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