analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
analyst report Numerix is leading the way in pricing and valuation for capi... Read more about Numerix is leading the way in pricing and valuation for capital markets
webinar Derivatives XVAs: Challenges & Opportunities for the Buy Sid... Read more about Derivatives XVAs: Challenges & Opportunities for the Buy Side
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform case study Kerius Finance CrossAsset Risk Case Study Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies. View case study case study HDFC Bank Market Risk Case Study Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office. View case study webinar The Free Boundary SABR: Natural Extension to Negative Rates Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand. Register Now webinar Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand. Register Now quantitative research Backward Induction for Future Values Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model. Read quantitative research white paper Real-World Equity & Volatility Behavior 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. Read white paper journal issue Numerix Journal Vol. 1, No. 2 In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities. Read journal issue webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now journal issue 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. Read journal issue white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. 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Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. 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case study Kerius Finance CrossAsset Risk Case Study Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies. View case study
case study HDFC Bank Market Risk Case Study Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office. View case study
webinar The Free Boundary SABR: Natural Extension to Negative Rates Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand. Register Now
webinar Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand. Register Now
quantitative research Backward Induction for Future Values Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model. Read quantitative research
white paper Real-World Equity & Volatility Behavior 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. Read white paper
journal issue Numerix Journal Vol. 1, No. 2 In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities. Read journal issue
webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now
quantitative research Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. Read quantitative research
quantitative research Fast-Reversion Limit of the Heston Model In this research paper, Dr. Serguei Mechkov examines the Heston model. Read quantitative research
white paper Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years. Read white paper
webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now
webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now
journal issue 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. Read journal issue
white paper Model Risk: The Challenges of Legacy Code and Best Practices In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation. Read white paper
quantitative research Options for Collateral Options Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time. Read quantitative research
webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now
webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. Register Now
