In this month's issue:
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FEBRUARY 2017 NEWSLETTER VOL V ISSUE 2
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Special Feature: Giving Capital Market Executives a New Vantage Point
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The Numerix Vantage Point Series provides senior leaders in capital markets with perspective on issues impacting capital markets. Distilled down to the need-to-know and focused on business impact, the series cuts through industry chatter and the regulatory labyrinth to give you the tools to take strategic action.
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Numerix Vantage Point Series | Five Questions that Reveal FRTB’s Real Business Impact
Five questions leaders should ask IT during the early stages of FRTB implementation to grasp critical elements of the technological and operational dynamics that reveal the true business impact of this new regulation. Read Blog
Numerix Vantage Point Series | Transformation in Banking : 5 Priorities for 2017 and 5 Opportunities for the Future
Five priorities executives must execute on in 2017 addressing transformation in banking and five opportunities to consider when thinking beyond the year ahead. Read Blog
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Quantitative Research
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Quantitative Research Paper: PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation
We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks. This method, named Backward Differentiation (BD), was developed in the context of computing price or PV Greeks for individual callable exotic trades. Download Research Paper
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Quantitative Research Paper: Algorithmic Differentiation for Callable Exotics
The speed of Greeks evaluations becomes important with recent initial margin rules, including the ISDA standard model SIMM, requiring sensitivity calculations for non-cleared deals (e.g. callable exotic/structured products) for a large set of risk factors and on a daily basis. Download Research Paper
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Video Blog
2017 Market Outlook with Greenwich Associates
With 2017 in full swing, there are many social and political influences that will be sure to impact capital market trends. In this video blog Numerix CMO, James Jockle, does the yearly outlook report with Kevin McPartland, Head of Market Structure and Research at Greenwich Associates. Watch Video
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In the News
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Numerix Named Top Ten Risk Technology Company by Risk Magazine
Numerix ranked #1 in Equities, Fixed Income, Currencies, Credit, Structured Products/Cross-Asset and ranked #6 overall amongst an impressive list of technology providers. This comprehensive survey, conducted annually by Risk.net, attracts support from a diverse global base of financial services end users of derivatives trading, pricing & analytics and risk management software. Read More
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Upcoming events and webinars
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