Resources

The Capital Markets 2020: In the Eye of Two Storms

In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets.

LIBOR Transition in 2020: Discussion with Numerix & Greenwich Associates

As the industry moves closer to LIBOR’s planned 2021 transition, in this video roundtable discussion Ping Sun, SVP of the LIBOR Transition for Numerix and Kevin McPartland, MD for Greenwich Associates discuss their top LIBOR transition concerns going into 2020.

analyst report

Trading, Technology and the LIBOR Transition

Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.

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Analyzing the Market Impact of SOFR Discounting

In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.

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quantitative research

STIRs and OIS Futures in the Hull-White Model

This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.

Applying AI to Streamline the LIBOR Transition

Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.

Greenwich Associates Webinar: Trading, Technology and the Libor Transition

An interactive discussion on the impacts of the Libor transition on the technology and processes that power the trading desk.

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Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting

SOFR and ESTR Quant Research Teaser Tile

quantitative research

SOFR and €STR Discounting: Forward Convexity from Discount-Rate Transition

In this technical paper, Jonathan Rosen, PhD, discusses the challenges surrounding the alternative reference rates (ARRs) replacing LIBOR and how market participants can cope.

Preparing for the Switch to SOFR Discounting

Ping Sun, SVP of Financial Engineering for Numerix explores the many facets of discounting risk as exchanges switch from OIS to SOFR discounting.

Talking XVA: Pace of Adoption, New Technology & Cloud

Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more

Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration

In this webinar, Andrew McClelland Ph.D., introduces a lower-bounded multi-curve Cheyette model, with lower bounds owing to level dependence in spread volatilities and derives swaption pricing formulae and other quantities relevant for practical use.

A "Playbook" for Automating the Front Office

This paper serves as a brief “playbook” on how to get started on automating the front office. Author, Jim Jockle, CMO of Numerix discusses several proven strategies.

How to Prepare for the Next Phases of Initial Margin Requirements

This webinar explores what’s changed under the newest revisions, what’s expected ahead of final phases and took a deep dive into key lessons learned from the prior phases.

Evolving XVAs: How to Manage Changing Regulation and Competitive Pricing

This webinar looked at the XVA landscape, the changing regulatory environment and assessed the challenges of staying competitive and mitigating risks. We also discussed how the cloud and analytics are able to bring new life to managing XVAs.