In this month's issue:

• On-Demand Webinar: Real World Algorithmic Exposure
• Video Blog: Real-time Risk and the Power of Reinvention
• Quantitative Research Paper: Mixing SABR Models for Negative Rates
• Case Study: TCorp Implements Best Practice, Enterprise Risk System

Real World Algorithmic Exposure: An Innovative New Approach for Nested Simulations

Join featured speaker Dr. Ping Sun, Executive Director of Financial Engineering at Numerix, for an introduction to Real World Algorithmic Exposure. In this on-demand webinar presentation, Dr. Sun outlines how Real World Algorithmic Exposure can be effectively utilized by both capital market and insurance practitioners for advanced risk measures like RW PFE and for other RW/RN nested simulations. View Webinar

From the Great Recession to Real-time Risk: Numerix CEO Steve O’Hanlon Discusses the Power of Reinvention

In this exclusive interview, Numerix CEO and President Steve O’Hanlon reveals how Numerix survived and thrived in the aftermath of the Great Recession to become a major valuation company in the derivatives space, winning the Lehman Brothers account. He also explores the importance of agility and how Numerix remains agile and nimble, continuing to reinvent itself in the risk space and in response to the evolving regulatory landscape. Watch Video

Numerix and IDA Ireland: Investing in Ireland

CEO Steve O’Hanlon discusses the key benefits of working in collaboration with IDA Ireland and elaborates on Numerix’s plans for expansion and job creation within the country in this video discussion. David O'Flaherty, Vice President for IDA Ireland based in New York, also joins the conversation—discussing the significant growth of the financial services sector in Ireland. Watch Video

NUMERIX QUANTITATIVE RESEARCH PAPER

Mixing SABR Models for Negative Rates

In their most recently published research paper, Alexandre Antonov, Michael Konikov, and Michael Spector offer a Mixture SABR model, which is a weighted sum of the normal and free zero-correlation models. This model is guaranteed to be arbitrage-free and has a closed-form solution for option prices. Added degrees of freedom also allow the Mixture SABR model to be calibrated to a broader set of trades, in particular, to a joint set of swaptions and CMS payment. In their research, the authors demonstrate this capability with a wide set of numerical examples.
Read Paper

RISK MAGAZINE CUTTING EDGE RESEARCH ARTICLE

The Free Boundary SABR: Natural Extension to Negative Rates

In this Cutting Edge research article published in the September 2015 Issue of Risk Magazine (which is also the precursor to the “Mixing SABR Models for Negative Rates” research paper above) Alexandre Antonov, Michael Konikov, and Michael Spector present a natural generalization of the SABR model to negative rates. Read Paper

New South Wales Treasury Corporation (TCorp)

Discover how by leveraging Numerix’s scalable server architecture and enterprise analytics, TCorp has implemented a best practice risk system and turnkey solution for its debt management services, in addition to an in-house Debt Interest Forecast System. Read Case Study

October 7-9 | WBS 11th Fixed Income Conference In Paris

October 20-21 | NEXT 2015 - Numerix User Conference

October 20-23 | WBS| Risk USA 2015, New York City

For more information about Numerix webinars please visit our Events page.