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APRIL 2016 NEWSLETTER VOL IV
ISSUE 4
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Meet the 2016 Risk Quant of the Year
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Meet the 2016 Risk Quant of the Year: Dr. Alexandre Antonov
Numerix is pleased to announce that Dr. Alexandre Antonov, Senior Vice President of Quantitative Research and 18 year veteran of Numerix has been named Quant of the Year in the 2016 Risk Awards. His recent research on negative rates modeling and the Free Boundary SABR model has been cited as revolutionary. Learn more about Dr. Antonov and explore further highlights from his quantitative research below.
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Quant of the Year Lecture Series Tour
Join Numerix and Dr. Alexandre Antonov for our complimentary series of one-day seminars in select cities around the globe–featuring presentations on the research that earned him the 2015 Risk Quant of the Year honor. This lecture series will delve into the issue of negative interest rates, his Free Boundary SABR approach, and how financial technology must adjust to these new challenges–including April seminars in Tokyo and in London.
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Special Section: Negative Rates Resources
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Are Prolonged Negative Interest Rates Having a 'Negative' Impact on Your Derivative Pricing & Modeling?
With the recent announcements from the Bank of Hungary and the Bank of Japan, it is clear that the challenges negative rates pose to derivative practitioners will remain for some time. We've crafted this map of global negative rates to help visualize these rates across Europe and Asia. Learn more to help you navigate the impacts of this prolonged negative rate environment on your business.
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Understanding The Bank of Japan's Negative Interest Rate Strategy
In this video blog Dan Li, SVP and Global Head of Financial Engineering of Numerix discusses the BOJ's latest monetary policy shake-up including the details of the plan, the impact on Japanese financial institutions and the reasons behind the decision. Li also discusses how what's happening in Japan compares to the ongoing negative rate environment across parts of the Eurozone and Nordics.
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Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge research article published in Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector present a natural generalization of the SABR model to negative rates–which is very important in the current low-interest-rate environment.
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A Quantitative Approach to Negative Rates: Curve Construction, Volatility Quotation & Model Calibration
In this video blog Dan Li delves into how Bank of Japan's recent announcement to move interest rates into negative territory could present challenges for financial institutions. He explains that these institutions require a consistent modelling framework to capture negative rates in order to ensure correct PnLs and for accurate risk assessment.
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On-Demand Webinar
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XVA Best Practices: Regulatory Drivers, Analytical Challenges & Techniques for Recapturing Profitability
Join featured speaker Dr. Victor Masch, Vice President of Global Strategy at Numerix, for a review of the XVA ecosystem, XVA impact on profitability, and insights into efficient ways to incorporate XVAs into the management processes.
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Video Blogs
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ECB Monetary Policy Decisions and the Aftershocks
In this video blog Udi Sela, VP of Business Development at Numerix discusses the European Central Bank’s most recent monetary policy decisions from the March 10th council meeting.
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Negative Bond Yields the New Norm — But What's the Impact?
On this episode of The Watchlist, Jim Jockle, CMO of Numerix discusses the market impact and implications of negative bond yields.
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In the News
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Numerix Named Best Derivatives Solution in 2016 HFM US Technology Awards
Numerix CrossAsset was selected for helping to solve the buy–side’s most complex derivatives pricing and risk management challenges.
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Upcoming Events & Webinars
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