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
quantitative research

Risk Magazine Cutting Edge Article | MVA Future IM for Client Trades and Dynamic Hedges

news - article pdf - Aug 20, 2019

Americas Derivatives Awards 2019 | Data and Analytics Vendor of the Year

conference

Sibos 2019

conference

Asia Risk Congress 2019

video blog

Accelerate Your LIBOR Transition

on-demand webinar

Curve Construction Beyond LIBOR

video blog

Numerix Oneview for XVA

numerix conference

Join us for NEXT 2019 - the Numerix User Conference

white paper

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

numerix roadshow

Life After LIBOR: What’s Next for Pricing and Curve Construction?

conference presentation

Latest Thoughts on Use of Economic Scenario Generators

on-demand webinar

On-Demand Webinar | Taking XVAs to the Next Level: Technology and XVAs State of Play