Resources

New QuantTech Platforms Paving Way for More Effective Trading Operations

QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas.

To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption

Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions.

Estimating Cross-Model Correlations for CCR & XVA

In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA.

article

Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets

In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business.

Read article

analyst report

Aite-Novarica Report

In new research report Audrey Blater of the Aite-Novarica Group shares key findings from her one-on-one interviews with key stakeholders across the financial services sector to uncover what’s driving cloud migration decisions for trading and risk management functions.
The report analyzes the factors influencing banks when it comes to deciding whether or not to migrate to the cloud and discusses what is needed to bring a pro-cloud shift into the decision-making process. The report also provides views on why on-premise legacy systems may or may not be preferred.

Read analyst report

Transforming Treasury and Derivatives management post Covid-19

In this webinar, Numerix and Risk.net, will examine new strategies to enhance your derivatives business and treasury management in the face of Covid-19, regulatory changes and counterparty risk.

Digitalisation of Derivatives Trading: Utilising Technology to Increase Profits

In this webinar, learn how new technologies, such as AI and machine learning, can be leveraged to better manage several aspects of a derivatives business.

Subscribe to our monthly newsletter to get exclusive resources from Numerix.

Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets

Numerix’s Andrew McClelland, SVP of Quantitative Research, addresses natural gas and electricity curves and the dynamics that complicate modelling,

XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity

In this webinar, panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.

journal issue

Numerix Journal Vol. 7 No. 1

The Vol 7. No. 1 Issue of the Numerix Journal represents some of Numerix's quantitative research and development achievements lately. Many of these achievements have been implemented as functionalities in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix.

Read journal issue

New Technology Is Redefining the Success of the Front Office

Numerix Chief Product Officer, Satyam Kancharla, discusses how firms are rethinking trading infrastructures

Risk.net: Next-generation technologies and the future of trading

Panel of industry experts share their insights and observations regarding emerging technologies in trading

Advances in Counterparty Credit Risk Modelling in Energy Markets

In this webinar, Numerix SVP of Quantitative Research, Andrew McClelland Ph.D., looked at what is being done to improve energy models inside the counterparty credit risk setting.

case study

OCBC Bank Scales Business and Mitigates Risk with Numerix Oneview

During the course of its nearly 10-year partnership with Numerix, OCBC Bank has faced a number of challenges it engaged Numerix to address. The bank required a platform that could help it meet demand for products with more innovative features within the structured products market and which integrated a sophisticated risk management process.

View case study

Real-Time Risk Management in Practice: The Experts’ Views

This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others.

analyst report

LIBOR Risk Q2 2021

As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection.

Read analyst report

All Publications

Analyst report

Article

Blog post

Journal issue

Newsletter

Quantitative research

White paper

journal issue

Numerix Journal Vol. 1, No. 1

In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.

Read journal issue

Model Risk: The Challenges of Legacy Code and Best Practices

In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation.

Options for Collateral Options

Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.

The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics

This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.

Mastering Model Risk: Assessment, Regulation and Best Practices

In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.

SABR Spreads Its Wings

Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.

Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model

This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.

Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice

In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).

Subscribe to our monthly newsletter to get exclusive resources from Numerix.

USLV: Unspanned Stochastic Local Volatility Model

In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.

Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.

blog

Advanced FX Hedging Strategies (and what NOT to do): A Case Study

Learn advanced FX hedging strategies and what is most effective.

Read Blog

Algorithmic Exposure and CVA for Exotic Derivatives

In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments.

blog

Capturing Stochastic Volatility: Key to Trading Inflation Derivatives

Modeling the smile and capturing the stochastic nature of volatility has become critically important for inflation derivatives trading.

Read Blog

Analytical Approximations for Short Rate Models

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.

blog

Bates Model and Cliquet Pricing in Numerix

Bates stochastic volatility jump-diffusion model is the market standard model for pricing exotic options that depend heavily on the forward skew, such as cliquets and other forward-starting trades.

Read Blog

Generalized Vanna-Volga Method and Its Applications

In this article, we give a general treatment of the Vanna-Volga mark-to-market volatility smile correction in application to pricing of contracts with European exercise on a single underlying.

Decoupled American Option Pricing Method: Computation of Implied Volatilities and Further Applications

In this article, we introduce a method for volatility computation from listed prices of American options on an underlying close to log-normal.