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 white paper Assessing How Businesses Across the Globe Are Addressing Inflation-Driven Risk Management Numerix distributed an internal Inflation Risk Management survey. This paper presents the survey's findings and discusses the different ways banks and asset managers globally try to protect against inflation risk. Read white paper newsletter May Newsletter 2023 Thinking Derivatively | May 2023 | In this Issue: Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter newsletter May Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter blog Our Experience Towards AWS Adoption In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS. Read Blog webinar Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market. Register Now newsletter April Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | FINCAD Acquisition, Banking Crisis Discussion, LIBOR Transition Insights Read newsletter webinar Explaining the Banking Crisis: What Happened, Its Wide Implications and Lessons Learned A panelist of financial industry experts discuss how the banking crisis unfolded, the impact of inflation, threat of recession, and more. Register Now white paper Six Themes that Characterize Trading in the Energy Markets Today We explore certain trends and themes tied to today’s energy markets. Read white paper newsletter March Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology Read newsletter Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper Using Emerging Technologies to Improve the Risk Management Function This white paper shares the technology themes and insights discussed by a keynote panel of risk experts featured at the Risk USA event in October 2022. Read white paper newsletter January Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Leveraging Emerging Tech, Applying XVAs in Energy Markets, Turbocharging Greek Calculations Read newsletter journal issue Numerix Journal Vol. 8 No. 1 The Vol 8. No. 1 Issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Many of these achievements have been implemented as new functionality in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix. Read journal issue webinar Machine Learning for Market Data Anomaly Detection & Gap Filling Presenters share how Machine Learning can be utilized to improve the quality of historical data for market risk calculations. Register Now white paper The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans. Read white paper webinar Turbo-charging XVA Greek Calculations Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations. Register Now webinar Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis. Register Now analyst report Coalition Greenwich Report Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk. Read analyst report webinar 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. Register Now Pagination First page « First Previous page Previous … Page 5 Page 6 Page 7 Page 8 Current page 9 Page 10 Page 11 Page 12 Page 13 … Next page Next Last page Last » 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 Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper white paper The Current State of XVA Adoption This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today Read white paper white paper 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. Read white paper 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. Read analyst report 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. Read quantitative research white paper Charting a Course for a Successful XVA Program This white paper outlines market perspectives and best practices for navigating through an XVA implementation project. Read white paper 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. Read analyst report 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. Read Blog 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. Read journal issue white paper 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? Read white paper Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded 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. Read Blog white paper 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. Read white paper white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research white paper The Rise of xVA and How It Transformed an Entire Industry 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. Read white paper Pagination First page « First Previous page Previous … Page 5 Page 6 Page 7 Page 8 Current page 9 Page 10 Page 11 Page 12 Page 13 Next page Next Last page Last » 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. Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Current page 7 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. 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. Pagination First page « First Previous page Previous Page 1 Current page 2 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.
white paper Assessing How Businesses Across the Globe Are Addressing Inflation-Driven Risk Management Numerix distributed an internal Inflation Risk Management survey. This paper presents the survey's findings and discusses the different ways banks and asset managers globally try to protect against inflation risk. Read white paper
newsletter May Newsletter 2023 Thinking Derivatively | May 2023 | In this Issue: Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter
newsletter May Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter
blog Our Experience Towards AWS Adoption In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS. Read Blog
webinar Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market. Register Now
newsletter April Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | FINCAD Acquisition, Banking Crisis Discussion, LIBOR Transition Insights Read newsletter
webinar Explaining the Banking Crisis: What Happened, Its Wide Implications and Lessons Learned A panelist of financial industry experts discuss how the banking crisis unfolded, the impact of inflation, threat of recession, and more. Register Now
white paper Six Themes that Characterize Trading in the Energy Markets Today We explore certain trends and themes tied to today’s energy markets. Read white paper
newsletter March Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology Read newsletter
white paper Using Emerging Technologies to Improve the Risk Management Function This white paper shares the technology themes and insights discussed by a keynote panel of risk experts featured at the Risk USA event in October 2022. Read white paper
newsletter January Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Leveraging Emerging Tech, Applying XVAs in Energy Markets, Turbocharging Greek Calculations Read newsletter
journal issue Numerix Journal Vol. 8 No. 1 The Vol 8. No. 1 Issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Many of these achievements have been implemented as new functionality in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix. Read journal issue
webinar Machine Learning for Market Data Anomaly Detection & Gap Filling Presenters share how Machine Learning can be utilized to improve the quality of historical data for market risk calculations. Register Now
white paper The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans. Read white paper
webinar Turbo-charging XVA Greek Calculations Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations. Register Now
webinar Risk.net | XVAs and Counterparty Credit Risk for an Energy Market in Crisis In November 2022, Risk.net hosted a panel discussion with five industry experts where they discussed the complexities of valuation adjustments and counterparty credit risk modelling for firms grappling with the European energy market crisis. Register Now
analyst report Coalition Greenwich Report Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk. Read analyst report
webinar 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. Register Now
white paper The Current State of XVA Adoption This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today Read white paper
white paper 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. Read white paper
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. Read analyst report
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. Read quantitative research
white paper Charting a Course for a Successful XVA Program This white paper outlines market perspectives and best practices for navigating through an XVA implementation project. Read white paper
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. Read analyst report
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. Read Blog
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. Read journal issue
white paper 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? Read white paper
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. Read Blog
white paper 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. Read white paper
white paper LIBOR: Its Astonishing Ride and How to Plan for Its End Explaination of what's important when preparing for 2021 Read white paper
quantitative research Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives. Read quantitative research
blog Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question. Read Blog
article Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it? Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries. Read article
journal issue Numerix Journal Vol. 4 No. 2 The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results. Read journal issue
quantitative research Efficient SIMM-MVA Calculations for Callable Exotics This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. Read quantitative research
white paper The Rise of xVA and How It Transformed an Entire Industry 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. Read white paper