Resources

How will LIBOR alternative rates impact derivatives valuations and curve construction going forward?

MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers.

Explaination of what's important when preparing for 2021

In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets.

The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry.

FRTB will manifestly change the way banks run their trading business; banking infrastructure must rise to new demands. With band-aided, legacy systems becoming costly to adapt and falling short, this paper helps banks to better understand the technology architecture needed to meet the new flexibility, agility, scalability and computational requirements.

Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review.  In this paper, he explores what banks can  do to adequately prepare. 

Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review.  In this paper, he explores what banks can  do to adequately prepare. 

Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.