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Derivatives Insights & Innovations

In this month's issue:


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 Numerix User Conference 2016 Recap

To Our Clients:

We had the pleasure of hosting our 2nd Annual NEXT user conference at the Doral Arrowwood Resort in Rye Brook, NY from October 24th – 26th. It was a great event that brought together clients and experts from different parts of the world to interact with one another, share their experiences, and also have a chance to see what’s in our future pipeline.

This packed two-day affair offered attendees insight into how Numerix and key industry leaders are tackling topics such as FRTB and XVA to handle impending regulation and market infrastructure changes.

For clients who were unable to join us, visit our Customer Support Portal to access some of the presentations from Numerix speakers.


Steven O’Hanlon
Chief Executive Officer
Numerix | www.numerix.com

NEXT 2016 Recap with Greenwich Associates

At the 2nd Annual Numerix Global User Conference (NEXT), CMO, Jim Jockle, discussed the latest research in terms of the transformation of the trading business with Head of Market Structure Research, Kevin McPartland, of Greenwich Associate. They analyzed the role transformation and cloud technology will play in the banking industry. Watch Video

CVA, Brexit and Cross-Gamma

 FRTB Next Steps

 Andrew McClelland

FRTB: Key Challenges Causing Implementation Headaches

Even before the Fundamental Review of the Trading Book (FRTB) rules were all but finalized earlier this year, there was a strong industry consensus that it will force a dramatic shift in the design and maintenance of risk systems at banks. Dr. Andrew McClelland discusses some of the concerns and challenges practitioners are experiencing and their implications for FRTB implementations. View On-Demand Webinar

 Paolo Tarpanelli and Juan Vargas

FRTB Special Report

FRTB is a work in progress. Even if we do not yet know every minute detail of the final regulations, banks will need to identify today the tasks they must perform – and the resources required to perform them. In this multi-page FRTB special report, key contributors from across the industry weigh in on the most pressing issues impacting FRTB planning, implementation and execution. Download Report

 Quant Research

Algorithmic Differentiation for Callable Exotics

Quantitative Research Paper | Algorithmic Differentiation for Callable Exotics

In this research paper,we study the algorithmic calculation of present values greeks for callable exotic instruments. 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

FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact

White Paper | FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact

All banks subject to the Fundamental Review of Trading Book (FRTB) will now be required to use the Standardized Approach in some capacity, even if their trading desks utilize an Internal Model Approach (IMA). Desks using an IMA will still need to calculate the SA and compare the two–with the SA possibly providing a floor to the capital requirements in many cases. The Sensitivity Based Approach (SBA) will be a critical component of FRTB reporting, and while many financial institutions are already prepared to conduct SBA calculations–many are not.
Download White Paper

For more Numerix Quantitative Research visit www.numerix.com/quantitative-research

 Analyst Reports

Celent Research Report | FRTB and the Upcoming Renaissance in Market Risk Management

With an end-of-2019 deadline, FRTB is expected to be significant in terms of increases in capital, granular risk measures, more stringent modeling methodologies, and stronger operational controls. Celent provides an examination of the new FRTB market risk imperative, IT Ecosystems, formulating a strategic roadmap and vendor landscape and functional coverage. Download Analyst Report

Celent Research Report

Greenwich Associates Report | The Transformation of the Trading Business

Today, trading desks are suffering from a dangerous combination of low trading volumes, new regulations and climbing costs. To help banks navigate these challenges, Greenwich Associates has published a new report, based on interviews with several thousand market participants through 2016, featuring 10 steps broker-dealers can take to keep their trading desks relevant. Download Analyst Report

Greenwich Associates Report

For more Analyst Research visit www.numerix.com/analyst-research

 Upcoming Events and Webinars

Nov 8-11 | Risk USA, New York

Nov 14-15 | SOA Equity-Based Insurance Guarantees Conference, Chicago

Nov 16-18 | WBS Fundamental Review of the Trading Book Conference, London

Nov 17 | PRMIA Dublin

Nov 25 | Insurance Forum 2016, Tokyo

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

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