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
press release - Aug 20, 2019

Numerix Named Best Overall Technology Provider in the Sell Side Technology Awards 2019

news - article pdf - Aug 20, 2019

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

press release - Jun 1, 2019

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

live webinar - Sep 12, 2019

Interactive Webinar | Evolving XVAs: How to Manage Changing Regulation and Competitive Pricing

newsletter issue - Aug 12, 2019

Thinking Derivatively - August 2019 Issue

news - article pdf - Jul 31, 2019

Waters Rankings 2019 | Best Credit Risk Solution Provider

conference

Asia Risk Congress 2019

video blog

Accelerate Your LIBOR Transition

conference

QuantMinds Americas 2019

conference presentation

Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration

newsletter issue - Jun 17, 2019

Thinking Derivatively - July 2019 Issue

video blog

Numerix Oneview for XVA