Derivatives Insights & Innovations

In this month's issue:


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Risk Technology

How Could Negative Interest Rates Be Impacting Your Derivative Business?

Negative Rates Map

This info graphic explores the unchartered waters and overall impact of prolonged negative rates on the financial marketplace—with specific focus on financial modeling challenges, including the quotation of option volatilities and volatility smile interpolation models. View Info Graphic


 On-Demand Webinars

Ping Sun

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

 Video Blog

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 Regional Trends & Analysis: The Nordics

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

Part I: Explanation of PRIIPs Methodologies for Structured Products

 Insights and Innovations

Mixing Sabr


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


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

 Case Study

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

case study

 In the News

Waters Technology

Numerix Wins Technology Vendor of the Year in the Structured Products Asia Awards 2015

Through the development of its Investment Products Distribution System and autopricer functionality, Leonteq-Avaloq-Numerix-DBS Numerix (LAND) collaborated to bring to market an integrated multi-issuer investment products distribution platform. Other innovations developed for Taiwan's bank Cathay United Bank and the New South Wales Treasury Corporation of Australia helped to secure this incredible award win for Numerix. Read the full article

 Upcoming events and webinars

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.

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