Fixed Income & Structured Finance

Trading, Technology and the LIBOR Transition

Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.

Analyzing the Market Impact of SOFR Discounting

In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.

01/25/20

Quantitative research

STIRs and OIS Futures in the Hull-White Model

This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.

12/06/19

Webinar

Applying AI to Streamline the LIBOR Transition

Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.

12/05/19

Webinar

Greenwich Associates Webinar: Trading, Technology and the Libor Transition

An interactive discussion on the impacts of the Libor transition on the technology and processes that power the trading desk.

11/27/19

Webinar

Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

11/21/19

SOFR and ESTR Quant Research Teaser Tile

Quantitative research

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

In this technical paper, Jonathan Rosen, PhD, discusses the challenges surrounding the alternative reference rates (ARRs) replacing LIBOR and how market participants can cope.

11/12/19

Webinar

Preparing for the Switch to SOFR Discounting

Ping Sun, SVP of Financial Engineering for Numerix explores the many facets of discounting risk as exchanges switch from OIS to SOFR discounting.

10/31/19

Webinar

Using Numerix & Python to Construct Alternative Reference Rate Curves

Learn about building SOFR curves using Numerix CrossAsset and Jupyter Notebooks with Python

07/24/19

Webinar

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

06/19/19

White paper

LIBOR Will Not Transition Quietly: What You Need to Know Now

In this Q&A, we discuss the transition effort from the IBORs to the RFRs, characteristics of RFRs and other challenges assocaited with the transition

06/13/19

White paper

The Current Landscape of Electronic Trading: A Discussion Among Experts

In this e-trading forum, Numerix features a panel of industry leaders who discuss the key trends shaping the evolution of electronic trading

06/11/19

Webinar

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.

04/30/19

Webinar

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.

03/27/19

White paper

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway

In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates

03/20/19

Fixed Income & Structured Finance

Results

Trading, Technology and the LIBOR Transition

Analyzing the Market Impact of SOFR Discounting

STIRs and OIS Futures in the Hull-White Model

Applying AI to Streamline the LIBOR Transition

Greenwich Associates Webinar: Trading, Technology and the Libor Transition

Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

Preparing for the Switch to SOFR Discounting

Using Numerix & Python to Construct Alternative Reference Rate Curves

Dawn of Alternative Reference Rates: Curve Construction Fundamentals

LIBOR Will Not Transition Quietly: What You Need to Know Now

The Current Landscape of Electronic Trading: A Discussion Among Experts

Transformational Trends in Electronic Trading: Adapting to Change and Seizing Opportunity

Risk.net and Numerix: Transitioning to a Post-LIBOR world

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway