Apr 27, 2010

Powering Pre-Trade Analytics and Modeling

Yesterday, attendees at the A-Team Insight Exchange 2010 here in New York were witness to a lively and informative panel discussion on “Powering Pre-Trade Analytics and Modeling,” which included our own Satyam Kancharla, SVP - Client Solutions Management Group.

Grid Power + Excel Flexibility?
Among the items Mr. Kancharla highlighted was Numerix’s partnership with Microsoft HPC (grid computing) as a real-world working example. HPC technology has been successfully applied to portfolios containing several thousand Excel spreadsheet trades at a global insurance company as part of the firm’s pre-trade risk management process. The end result: taking a process that would have taken days, down to two minutes. Traditionally, analytics users have had to make a tradeoff between the flexibility of Excel and the performance and scalability of a custom gridding solution. What’s unique about the Numerix Excel/HPC solution is that users get both.

Consistent Pricing/Risk Analytics
The discussion on pricing provided a good forum for highlighting Numerix’s strategic partnership with Bloomberg and how we’re working towards creating an industry standard for pricing and valuations. For example, because Numerix analytics are already embedded into the Bloomberg platform, everyone looking at a deal — issuers, dealers, investors, compliance, risk management, auditors — operate on a common, transparent analytic foundation. And with Numerix Bloomberg Edition and NXDL, users can upload bespoke instruments into the BLOOMBERG PROFESSIONAL® service, where they can take advantage of all the Bloomberg functions they already use, such as on-demand pricing and Greeks, messaging, changing data contributors, and outputting to order management systems.

Counterparty Credit
Risk management also took center stage, with the importance of Counterparty Valuation Adjustments (CVA) and Monte Carlo simulations in the pre-trade process. To do CVA, firms need a solution that is flexible and scalable. 

In the end, all panel participants agreed that pricing analytics and software as a service (SAAS) were poised for continued growth, with service and vendor firms standing to gain increased revenues from the SAAS value proposition.

Blog Post - Jun 24, 2010

Reflecting on SIFMA: Risk and the Explosion of Market Complexity

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