In Vol 3 No 1 Issue of the Numerix Journal, we explore the economic rationale and numerical methods used to address the KVA problem. We also discuss the techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure. We examine the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model. And lastly, we provide an introduction to Numerix Model Validation Services and Model Validation Studio, a platform developed to increase the efficiency of large-scale model validation projects.


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.
 

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. - See more at: https://www.numerix.com/numerix-journal-vol-2-no-2#sthash.3x8Hxhve.dpuf

TABLE OF CONTENTS

Editors Note

ARTICLES

KVA: Economic Rationale and Numerical Methods for Basel III CCR and CVA Capital Charges

Real-World Estimation for the Black, Heston, Bates, Hull White 2F, and CIR 2F Models

Evaluating Regulatory 'Fitness for Purpose' With The Hedge Performance Test

Featured Article on Numerix Products and Services

Introduction to Numerix Model Validation Services

 

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
product

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

product collateral

Numerix Oneview For XVA | Fact Sheet

product

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

news - article pdf - Sep 12, 2018

Waters Rankings 2018 | Numerix Profile

industry conference

Risk USA 2018

industry conference

Equity-Based Insurance Guarantees Conference 2018

conference presentation

Visión Global

quantitative research

Efficient Simm-MVA calculations for callable exotics

newsletter issue - Sep 5, 2018

Thinking Derivatively - September 2018 Issue

written blog

Real Time Demands and other Forces Spark Growth of Electronification: Experts Say

white paper

Adapting to Change in the Electronic Fixed Income and OTC Markets: Have We Reached an Inflection...

written blog

CEO Spotlight: Mazy Dar, OpenFin