Resources

Webinar 12/12 | In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR.

Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.

With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants.

On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.

Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter.

Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today.

Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark.

Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades.

Numerix invites you to join us for a two-part on-demand webinar series covering FRTB's Sensitivity Based Approach. Featured speakers Dr. Paolo Tarpanelli and Mr. Juan Vargas discuss the importance of the Sensitivity Based Approach and its methodology, as well as offer case studies to show the potential business impact of these new FRTB regulations.

What You Need to Know About FRTB’s New CVA Capital Framework

Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero.

On April 13th Laure Darleguy discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence.

Dr. Victor Masch Vice President of Global Strategy at Numerix, reviews the state of the XVA ecosystem, their impacts on profitability, and offered insights into efficient ways to incorporate XVA into the management processes.

On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches.

Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provides a quantitative introduction to KVA calculations for Counterparty Credit Risk (CCR) capital and CVA capital.

On Wednesday, November 18^th featured speaker Daniel Schobel outlined typical uses of Real World ESGs and discussed how insurers can overcome common modeling challenges they encounter.

On Wednesday, October 14^th featured speaker Luca Trussoni, Senior Financial Engineer at Numerix, presented an introduction to Solvency II to help insurance practitioners around the world better understand the “big picture” of the directive.

On Wednesday, September 16^th featured speaker Dr. Ping Sun, Executive Director of Financial Engineering at Numerix, provided an introduction to Real World Algorithmic Exposure and outlined how it can be utilized by both capital market and insurance practitioners for advanced risk measures like RW PFE and for other RW/RN nested simulations.