Exploring 3 Hot Topics in Energy and Commodity Trading
In this blog, we will explore topics in energy trading and risk management as discussed at E-world, Europe's leading energy trade fair.
A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application
Can ChatGPT be leveraged by capital markets firms, and if so, how? Join James Gavin of Numerix as he walks through a practical example of using ChatGPT to calculate Value-at-Risk (VaR) on a swap portfolio and building a lightweight VaR application.
For the Capital Markets, Every Risk Playbook Needs to Implement These 6 Themes
This white paper outlines 6 risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
June Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology
Future Directions for Capital Markets Technology in the Digital/AI Revolution
This webinar is part of Numerix's ongoing “Derivative Insider” series. In this installment, Neil Chinai, Operating Partner at Sand Hill East, joins Numerix’s CMO James Jockle to discuss his outlook on promising new capital markets technologies.
FRTB in a Fast-Changing World: Is the Regulation Still Relevant?
An update on FRTB progress around the world, as well as challenges and quirks of the regulations that practitioners should be aware of as they finalize their preparations.
Assessing How Businesses Across the Globe Are Addressing Inflation-Driven Risk Management
Numerix distributed an internal Inflation Risk Management survey. This paper presents the survey's findings and discusses the different ways banks and asset managers globally try to protect against inflation risk.
May Newsletter 2023
Thinking Derivatively | May 2023 | In this Issue: Inflation Risk Management, AWS Adoption, FRTB Webinar
May Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | Inflation Risk Management, AWS Adoption, FRTB Webinar
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Our Experience Towards AWS Adoption
In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS.
Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition
In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market.
April Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | FINCAD Acquisition, Banking Crisis Discussion, LIBOR Transition Insights
Explaining the Banking Crisis: What Happened, Its Wide Implications and Lessons Learned
A panelist of financial industry experts discuss how the banking crisis unfolded, the impact of inflation, threat of recession, and more.
Exos Financial Uses Numerix CrossAsset SDK Python to Scale Up Risk Analytics
In this video, Philippe Hatstadt, Chief Risk Officer of Exos Financial, discusses why and how his firm used Numerix CrossAsset SDK Python to fill a need for a comprehensive multi-asset and derivatives risk management analytics and valuation library that it could integrate into its own proprietary risk and valuation platform.
Six Themes that Characterize Trading in the Energy Markets Today
We explore certain trends and themes tied to today’s energy markets.
March Newsletter 2023
Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology
Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis
In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis.
Using Emerging Technologies to Improve the Risk Management Function
This white paper shares the technology themes and insights discussed by a keynote panel of risk experts featured at the Risk USA event in October 2022.
Risk.net: Next-generation technologies and the future of trading
Panel of industry experts share their insights and observations regarding emerging technologies in trading
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.
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.
The New Rules of Market Risk Management
This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management.
The Art of Effective Market Risk Management During a Period of Transformation
White paper | The Art of Effective Market Risk Management During a Period of Transformation
Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021
In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination.
Risk Magazine Cutting Edge Article | Machine Learning: Deep Asymptotics
In this research, Drs. Alexandre Antonov, Michael Konikov and Vladimir Piterbarg overcome limitations and develop a new type of neural network that incorporates large-value asymptotics, allowing explicit control over extrapolation.
Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads.
Aite Impact Report
A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front.
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How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach
In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business.
LIBOR Risk Q3 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
The Tipping Point of Cloud and Risk Management in Capital Markets
Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud.
LIBOR Transition Readiness: The Current Narrative
Results of a Numerix Global Survey on the LIBOR Transition
Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface
In this Cutting Edge research article, published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivites of future trade values.
The Current State of XVA Usage in Latin America
In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region.
The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series
In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness.
Structured Notes: Transforming Risk into Opportunities
In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products.
LIBOR Risk Q1 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
Structured Notes: How Traders and Issuers Can Reduce Complexities of Structured Products
Structured notes are complex and in 2019 we’re observing a big push for diversification and a focus on repricing resulting in new complexities and challenges for the structured products market. This webinar provides transparency to the current and changing status of structured notes which will aim to help you manage these challenges.
Dawn of Alternative Reference Rates: Curve Construction Fundamentals
In this presentation, Ping Sun, SVP of Financial Engineering for Numerix CrossAsset tackles curve complexity under RFRs
Front Office Automation: Key to Surviving the Markets of Tomorrow
This webinar covers the benefits firms stand to gain by developing automated, multi-asset trading platforms
Taking XVAs to the Next Level: Technology and XVAs State of Play
In this webinar, Numerix explored how banks have evolved over the past few years to incorporate the growing family of XVAs. The discussion centered around an Aite Group study based on conversations with heads or members of XVA trading desks, as well as pricing and risk management functions at regional and global banks.
Transformational Trends in Electronic Trading: Adapting to Change and Seizing Opportunity
Learn how the market is responding to an increasing automation of markets, and an increase in trading complexity as well.
Numerix Quantitative Leadership Series: New Arbitrage-Free Parametric Volatility Surface
Dr. Michael Konikov, SVP and Head of Quantitative Development introduced a new parametric volatility surface, Ensemble Carr-Pelts (ECP), that guarantees the absence of arbitrage and has closed form expressions for both options values and local volatility.
Risk.net and Numerix: Transitioning to a Post-LIBOR world
Libor is a cornerstone of today’s financial industry, underpinning an estimated $350 trillion in contracts. The size, scale and scope of Libor usage makes the transition to a post-Libor world by 2021 arguably one of the biggest challenges facing financial firms.
Taking Quantitative Analytics Beyond the Spreadsheet
Learn how capital markets players are leveraging the combined power of MATLAB and Numerix CrossAsset to create rich quantitative modeling sandboxes with the robust controls and structure of enterprise level analytics.
Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework
Examined curve stripping challenges resulting from the decomission of LIBOR and how Numerix’s cutting-edge multi-curve framework can help market participants address them. Presenter Ping Sun, PhD, SVP of Financial Engineering, Numerix
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SOFR Status Check - Understanding the New U.S. LIBOR Alternative Rate
Webinar 12/12 | In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR.
MVA: How to Forecast Initial Margin for Client Trades and Dynamic Hedges
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.
Preparing for a World Without LIBOR: Where Are We Now?
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.
Risk.net and Numerix: Exploring MVA & Initial Margin
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.
A Competitive Edge in OTC E-Trading
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.
Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management
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.
The End of LIBOR: Implications and Preparing for 2021
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.
MVA: Rationale and Practical Calculations as Margining Rules Tighten
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.
FRTB's Sensitivity Based Approach Two-Part Webinar Series
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.