Numerix Journal Vol 2 No 2

In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling.
 
In particular, we would like to highlight the first article in the issue Exposures in the Real World by Efficient Resampling, which describes an efficient resampling method that combines real-world scenario generation with American Monte Carlo simulation of future values.

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.


TABLE OF CONTENTS

Editors Note

ARTICLES

Exposures in the Real World by Efficient Resampling
 
Backward Induction for Future Values
 
Real-World Interest Rate Scenarios
 
Stressing the PFE: A Case Study for Exotic Interest Rate Swaps

Featured Articles on Numerix Products and Services

An Integrated View of Risk Sensitivities with Numerix OneView
 
Numerix Economic Scenario Generator (ESG) Solutions for Insurers
 
Creating Custom Scenarios with Numerix Risk Scenario Framework (RSF)

 

Looking for more Numerix Journal Issues? Visit our Journal Home Page

Request This Issue

Complete the form below to request this complimentary issue of the Numerix Journal.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
live webinar

APAC Session - Preparing for a World Without LIBOR: Where Are We Now?

live webinar, webinar

Preparing for a World Without LIBOR: Where Are We Now?

conference presentation

Margin Valuation Adjustment: Initial Margin for Client Trades & Dynamic Hedges

conference presentation

Modeling Considerations for Embedded Guarantees

conference presentation

Risk-Neutral ESG

news - article pdf - Dec 20, 2017

CEO Today | CEO Today USA Awards 2017

written blog

Why We're Putting Front-Office Risk Transformation Into Focus

analyst report

Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018

product collateral

Numerix Oneview For XVA | Fact Sheet

product

Oneview for XVA - Complete XVA Management Built on the Best Analytics

industry conference

Risk USA 2018

industry conference

Equity-Based Insurance Guarantees Conference 2018