A Video Discussion with Numerix and Bloomberg

Posted to Numerix website (www.numerix.com)

Alexander Antonov, SVP of Quantitative Research, Numerix

Peter Carr, Head of Quantitative Research, Bloomberg

While attending the 2009 Risk-Quant Congress in New York, Drs. Antonov and Carr sat down at Bloomberg’s world headquarters to discuss the challenges presented by the current market environment characterized by low interest rates and high volatility.  In many cases the traditional valuation approaches for OTC derivatives are no longer appropriate and can result in complete model failure. The discussion references three areas of possible change:

• Modeling – Today’s usage is characterized by a move to more complex models, e.g., incorporating LMM models with special shifts. With added care being given towards model selection the choice of model can have implications for the method that is being used. 

• Methods- Quant’s are increasingly incorporating portfolio volatility into their models while also moving away from more traditional methods.

• Calibration- Robust numerical calibration allowing for high volatility is now considered the rule rather than the exception. At the same time one can no longer ignore counterparty credit risk and lack of liquidity when it comes to calibration.

Both agree that the future of quant modeling is something that will be interesting to follow and worth looking into going forward.   Let Numerix know what you think about these issues. Join in the discussion on the latest developments in quantitative methods for addressing high volatility, counterparty credit risk and liquidity risk.
The discussion continues on the Numerix Forum — Quant Connection.http://forums.numerix.com/


About Numerix
Numerix is the leading independent analytics institution providing award winning, 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, more than 375 financial institutions and 45 strategic partners across 25 countries rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments.  With offices in New York, London, Tokyo, Hong Kong, Singapore and Dubai, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines.  For more information, please visitwww.numerix.com.

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