Resources

New QuantTech Platforms Paving Way for More Effective Trading Operations

QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas.

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webinar

To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption

Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions.

webinar

Estimating Cross-Model Correlations for CCR & XVA

In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA.

article

Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets

In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business.

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analyst report

Aite-Novarica Report

In new research report Audrey Blater of the Aite-Novarica Group shares key findings from her one-on-one interviews with key stakeholders across the financial services sector to uncover what’s driving cloud migration decisions for trading and risk management functions.
The report analyzes the factors influencing banks when it comes to deciding whether or not to migrate to the cloud and discusses what is needed to bring a pro-cloud shift into the decision-making process. The report also provides views on why on-premise legacy systems may or may not be preferred.

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webinar

Transforming Treasury and Derivatives management post Covid-19

In this webinar, Numerix and Risk.net, will examine new strategies to enhance your derivatives business and treasury management in the face of Covid-19, regulatory changes and counterparty risk.

webinar

Digitalisation of Derivatives Trading: Utilising Technology to Increase Profits

In this webinar, learn how new technologies, such as AI and machine learning, can be leveraged to better manage several aspects of a derivatives business.

webinar

Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets

Numerix’s Andrew McClelland, SVP of Quantitative Research, addresses natural gas and electricity curves and the dynamics that complicate modelling,

webinar

XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity

In this webinar, panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.

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journal issue

Numerix Journal Vol. 7 No. 1

The Vol 7. No. 1 Issue of the Numerix Journal represents some of Numerix's quantitative research and development achievements lately. Many of these achievements have been implemented as functionalities 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.

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white paper

New Technology Is Redefining the Success of the Front Office

Numerix Chief Product Officer, Satyam Kancharla, discusses how firms are rethinking trading infrastructures

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white paper

Risk.net: Next-generation technologies and the future of trading

Panel of industry experts share their insights and observations regarding emerging technologies in trading

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webinar

Advances in Counterparty Credit Risk Modelling in Energy Markets

In this webinar, Numerix SVP of Quantitative Research, Andrew McClelland Ph.D., looked at what is being done to improve energy models inside the counterparty credit risk setting.

case study

OCBC Bank Scales Business and Mitigates Risk with Numerix Oneview

During the course of its nearly 10-year partnership with Numerix, OCBC Bank has faced a number of challenges it engaged Numerix to address. The bank required a platform that could help it meet demand for products with more innovative features within the structured products market and which integrated a sophisticated risk management process.

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white paper

Real-Time Risk Management in Practice: The Experts’ Views

This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others.

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analyst report

LIBOR Risk Q2 2021

As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection.

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webinar

Modelling Energy Curves for XVA

Watch Numerix’s SVP of Quantitative Research Andrew McClelland present updates to his latest research, "Modelling Energy Curves for XVA."

white paper

The New Rules of Market Risk Management

This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management.

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All Publications

Analyst report

Article

Blog post

Journal issue

Newsletter

Quantitative research

White paper

journal issue

Numerix Journal Vol. 3 No. 1

Vol 3 No 1 Issue of the Numerix Journal explores the economic rationale and numerical methods used to address the KVA problem, techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure, the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model, and offers an introduction to Numerix Model Validation Services and Model Validation Studio.

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white paper

Understanding the Riskiness of A GLWB Rider For FIAs

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.

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white paper

‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB

While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.

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blog

Regulatory Guide to Understanding Bank Capital and Margin Requirements

Extensions and revisions of bank capital and margin requirements have given rise to increased interest in capital calculations and the methods employed. Our blog showcases insights on this topic from Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix.

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blog

Numerix Celebrates 20 Years of Innovation in Pricing and Risk

In this blog, we discuss our experience at Numerix as a company embarking on our 20th year in business. We are proud of both the legacy behind us and the exciting future before us.

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journal issue

Numerix Journal Vol. 2, No. 2

In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling

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quantitative research

Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments

In this Cutting Edge research article, published in the November 2015 Issue of Risk Magazine, Drs. Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation.

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quantitative research

"Hot-start" Initialization of the Heston Model

The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.

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quantitative research

Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates

In this Cutting Edge article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates.

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quantitative research

Research In Brief | Negative Rates: The Challenge and the Opportunity

Dr. Ion Mihai, explores how negative interest rates have recently become a critically important issue in finance.

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white paper

Bringing Real-time Risk into the Decision-making Process

Satyam Kancharla discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making.

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journal issue

Numerix Journal Vol. 2, No. 1

In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions.

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quantitative research

Advanced Analytics for the SABR Model

In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing.

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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.

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