Derivatives Insights & Innovations

In this month's issue:

OCTOBER 2017 NEWSLETTER VOL V
ISSUE 9

Join
linkedin twitter blog youtube User Group
NEXT 2017

MVA Spotlight

MVA: Rationale and Practical Calculations as Margining Rules Tighten

Initial margin has long been a requirement for counterparties clearing trades through central clearing houses and is known to have an impact on dealer costs. Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explains the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades, and offered an introduction to MVA calculations and the complex computational challenges they present. View On-Demand Webinar

MVA On-Demand Webinar

Efficient MVA by Backward Differentiation

Presented at the Asia Risk Congress, Dr. Alexandre Antonov of Numerix addresses initial margin (IM) and its projection to the future, complexity of the MVA, particular difficulties with structured products, known approximations to the MVA, new efficient methods for the exact MVA calculation based on the future differentiation and numerical experiments for a Bermudan Swaption MVA. Download Presention

MVA Presentation

Efficient SIMM-MVA Calculations for Callable Exotics

This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures. The method algorithmically differentiates continuation values and underlying swap values with respect to model parameters. Download Whitepaper

MVA On-Demand Webinar

Video Blogs

Fear of Fintech & Cybersecurity

In this video, James Jockle, Chief Marketing Officer at Numerix, sits down with Lee Schneider, Head of Fintech at international law firm Debevoise & Plimpton LLP, to discuss some of the very important issues related to cybersecurity—how it is impacting financial institutions, the reputational risk and consumer expectations, as well as the challenges posed by the security weaknesses of legacy systems and the imperative to reduce data breach risks. Watch Now

Fear of Fintech

What Is "Fintech"?

James Jockle, Chief Marketing Officer at Numerix, joins with Lee Schneider, Head of Fintech at international law firm Debevoise & Plimpton LLP, to offer refreshingly encapsulated—and clear-cut—answers to the questions, “What is fintech?” and “What makes a company a fintech?” They also engage in an insightful discussion on the transformational attributes of the growing fintech industry. Watch Now

What is Fintech

Blogs

Fintech Culture

We're not Google, and That's not a Bad Thing: Establishing an Attractive, but Realistic FinTech Culture

Silicon Valley tech giants, such as Google and Apple, are known for investing millions of dollars into their company cultures—and it’s working for them because they are both considered some of the best places to work for in the world. As the head of a tech company with a staff of just over 300, is that it is very possible for smaller firms to also create great and unique cultures that offer a transformational experience to employees. Read Blog

Fintech Culture

The Emergence of the Capital Markets Cloud

Cloud computing has been around for over a decade and is now regarded as mainstream across many industries. However, within financial services, sell-side institutions generally resisted the transition. Bill Dwyer, VP of Corporate and Business Development at Numerix shares his industry expertise on the emergence of the cloud in capital markets. Read Blog

 Upcoming Events and Webinars

Webinar Oct 12 | The xVA Transformation: Market Perspectives and Best Practices

Oct 18-20 | The 13th Fixed Income Conference, Italy

Oct 19 | Indonesian Wealth Management Forum 2017, Indonesia

October 24-25 | NEXT 2017, New York

November 6-7 | Equity-Based Insurance Guarantees Conference, Maryland

Webinar Nov  8 | Tipping Points for Legacy Risk System Replacement: The CRO View


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

 Most watched videos

 Most read blogs

Copyright © 2017 Numerix LLC | Unsubscribe | Edit your preferences