Resources

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.

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.

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.

Learn about building SOFR curves using Numerix CrossAsset and Jupyter Notebooks with Python

Structured notes are complex and in 2019 we’re observing a big push for diversification and a focus on repricing resulting in new complexities and challenges for the structured products market. This webinar provides transparency to the current and changing status of structured notes which will aim to help you manage these challenges.

In this presentation, Ping Sun, SVP of Financial Engineering for Numerix CrossAsset tackles curve complexity under RFRs

This webinar covers the benefits firms stand to gain by developing automated, multi-asset trading platforms

In this webinar, Numerix explored how banks have evolved over the past few years to incorporate the growing family of XVAs. The discussion centered around an Aite Group study based on conversations with heads or members of XVA trading desks, as well as pricing and risk management functions at regional and global banks.

Learn how the market is responding to an increasing automation of markets, and an increase in trading complexity as well.

Dr. Michael Konikov, SVP and Head of Quantitative Development introduced a new parametric volatility surface, Ensemble Carr-Pelts (ECP), that guarantees the absence of arbitrage and has closed form expressions for both options values and local volatility.

Libor is a cornerstone of today’s financial industry, underpinning an estimated $350 trillion in contracts. The size, scale and scope of Libor usage makes the transition to a post-Libor world by 2021 arguably one of the biggest challenges facing financial firms.

Learn how capital markets players are leveraging the combined power of MATLAB and Numerix CrossAsset to create rich quantitative modeling sandboxes with the robust controls and structure of enterprise level analytics.

Examined curve stripping challenges resulting from the decomission of LIBOR and how Numerix’s cutting-edge multi-curve framework can help market participants address them. Presenter Ping Sun, PhD, SVP of Financial Engineering, Numerix

Webinar 12/12 | In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR.

Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.

With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants.

On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.

Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter.