Risk Management

The Case for Dynamic Replication of Indexed Annuities

Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand.

05/14/14

Quantitative research

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.

03/01/14

Webinar

Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More

Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand.

12/13/13

Webinar

Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives

Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand.

12/11/13

White paper

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.

12/01/13

Quantitative research

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.

11/01/13

White paper

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.

10/01/13

Webinar

A Quantitative Look at FVA - Theory and Implementation

Many practitioners have found developing and implementing an accurate FVA framework challenging both theoretically and practically. Join Numerix on 2/28 for a quantitative discussion with Dr. Alexandre Antonov, SVP, Quantitative Research, as he reviews current FVA theory and outlines a new universal FVA framework. Register to view On-Demand.

02/28/13

Quantitative research

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.

10/11/12

Webinar

Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment

Webinar discussing Funding Value Adjustment (FVA) and its role in derivative valuations, trading, and liquidity management.

07/24/12

Quantitative research

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.

04/12/12

Risk Management

Results

The Case for Dynamic Replication of Indexed Annuities

Options for Collateral Options

Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More

Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives

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

Funding Value Adjustment for General Financial Instruments: Theory and Practice

Mastering Model Risk: Assessment, Regulation and Best Practices

A Quantitative Look at FVA - Theory and Implementation

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

Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment

Algorithmic Exposure and CVA for Exotic Derivatives