Numerix Journal Vol. 1, No. 1

In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.

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 NOTE Foreword from our CEO ARTICLES Dilemmas in the Multiple-Curve Approach Funding Valuation Adjustment for General Financial Instruments: Theory and Practice Primer: Curve Stripping with Full Collateralization American Monte Carlo: Simulation Technology for Accuracy and Performance Numerix Model Validation Testing CrossAsset Server Product Review

webinar

Impacts of FRTB’s Fragmented Implementation

Join Franck Rossi of Numerix as he provides an update on FRTB challenges due to the heterogeneous timelines and rules.

white paper

Turbocharging Tech for Next-Level Risk Analytics

Download the latest Risk.net whitepaper to read more about the challenges and key themes facing risk managers, and how they are using technology to uncover opportunity.

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white paper

Mastering XVA Dynamics from the Buy Side

In a Risk.net webinar sponsored by Numerix, three experts discussed key aspects of XVA from a buy-side standpoint and strategies for navigating this increasingly complex terrain. Download this white paper to discover the stand-out themes that arose from that discussion.

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Numerix Journal Vol. 1, No. 1

TABLE OF CONTENTS

Related resources

Impacts of FRTB’s Fragmented Implementation

Turbocharging Tech for Next-Level Risk Analytics

Mastering XVA Dynamics from the Buy Side

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