Resources

NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built

See examples of capital markets apps built with NxCore Cloud and understand the thinking behind them, to inspire you to build your own.

Portfolio Management Using Advanced Market & Credit Simulations

Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions.

Modernizing Risk Management Technology: Has the Game Changed?

How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks?

Analyzing the Global Usage of XVAs

This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC.

Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics

In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid.

Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine

Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users.

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article

Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition

This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products.

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video

Numerix: Pushing Boundaries to Create Breakthrough Technology

Learn why Numerix is the leading provider of capital markets technology

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Build Capital Market Apps Faster with NxCore Cloud

Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users.

Technology and Human Disruptors Impacting the Capital Markets

This paper reveals how certain technology and human trends are transforming the capital market ecosystem.

Derivative Insider Webinar Series: Cautionary Insights on Software Development

In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h

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A Few Insights into Crypto Risk

In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market.

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The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives

In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors.

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces.

The State of XVA Usage in Latin America – A 2022 Update

This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region.

All Publications

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Article

Blog post

Journal issue

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Quantitative research

White paper

The Availability of New Technologies and a Renewed Focus on Digital

In Part 2 of this white paper series that examines the transformation of the capital markets and the emerging dynamics impacting front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services Satyam Kancharla shares his views on the accelerating pace of technology change and innovation in the capital markets.

The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway

In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates

React, Adapt and Enact: The Catalysts to Capital Markets Transformation

In Part I of this white paper series examining the dynamics and future of front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services, Satyam Kancharla delivers an expert view on these drivers of change and their implications for the current and future state of the capital markets.

journal issue

Numerix Journal Vol. 5 No. 2

The Vol. 5 No. 2 Issue of the Numerix Journal spotlights theoretical aspects of current and upcoming Numerix features. It begins with a discussion of MVA and Initial Margin requirements, and next looks at the Numerix implementation of the FX Joint Heston model. The issue also examines probability distributions of barrier hitting times, and includes a white paper on European swaption pricing methodology for the Hull-White two-factor model. Finally, the issue highlights Numerix’s implementation of an arbitrage-free volatility surface using a linear programming formulation.

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The Current State of XVA Adoption

This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today

The 5 Top-of-Mind Issues Dominating the LIBOR Transition

Learn what we believe to be the 5 top-of-mind issues facing market participants today.

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analyst report

Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018

Numerix is proud to be recognized as a leading provider of front office risk management technology (FORM) by Chartis Research, a leading research firm focused on the global market for risk technology.

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quantitative research

Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics

In this Cutting Edge research article published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivities of future trade values.

Charting a Course for a Successful XVA Program

This white paper outlines market perspectives and best practices for navigating through an XVA implementation project.

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analyst report

Risk.net XVA Special Report 2018

This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the OTC derivatives marketplace today, such as the complications of XVA adoption, the impact of regulatory drivers, the complexity of pricing and risk calculations, the radical changes presented by new technologies, and the elusive capturing of profitability.

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blog

XVAs Defined: The Profitability Puzzle

Numerix experts break down the growing list of XVA pricing adjustments impacting derivatives, explore how they interact and their relationship to the overall profitability of a derivatives business.

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journal issue

Numerix Journal Vol. 5 No. 1

The Vol. 5 No. 1 issue focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year.

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LIBOR Alternative Rates: The Future of OTC Derivatives Pricing and Curve Construction

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

blog

Putting Quantitative Innovation into Focus for XVAs

Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization.

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MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets

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

LIBOR: Its Astonishing Ride and How to Plan for Its End

Explaination of what's important when preparing for 2021