Markets

LIBOR Transition in 2020: Discussion with Numerix & Greenwich Associates

As the industry moves closer to LIBOR’s planned 2021 transition, in this video roundtable discussion Ping Sun, SVP of the LIBOR Transition for Numerix and Kevin McPartland, MD for Greenwich Associates discuss their top LIBOR transition concerns going into 2020.

01/31/20

Analyst report

Trading, Technology and the LIBOR Transition

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

01/25/20

White paper

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

White paper

Increased Adoption and Innovation Are Driving the Structured Products Market

In this white paper, we discuss how the structured notes business is becoming more digitized and why a broader range of market participants are now issuing these products.

09/17/19

Video

Numerix Oneview for Trading

In this short animated video, discover how Numerix Solutions provides holistic trading analysis with Oneview for Trading.

07/29/19

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

White paper

Gain or Pain - Automating the OTC and Structured Products Markets

In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.

07/02/19

Webinar

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.

07/01/19