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)

 

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