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
conference

Risk Australia

in the news - Jun 30, 2021

Numerix - Best Analytics Solution – WatersTechnology Asia Awards 2021

in the news - Jun 21, 2021

Numerix - Best Sell-Side Analytics Product - Sell Side Technology Awards 2021

white paper

White paper | Real-Time Risk Management in Practice: The Experts’ Views

on-demand webinar - Jun 30, 2021

Numerix On-Demand Webinar | Modelling Energy Curves for XVA

press release - Jun 2, 2021

Numerix Named Data and Analytics Vendor of the Year in the Global Capital Americas Derivatives...

press release - May 20, 2021

Numerix’s LIBOR Transition Analytics Solutions Recognized in the A-Team Insight RegTech Insight...

on-demand webinar - Jun 24, 2021

Risk.net On-Demand Webinar - Next generation technologies and the future of trading

conference

Global Quant Network 2021

industry conference

Risk Live 2021

content collection

Numerix Quant Tech Resource Hub

on-demand webinar

SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience