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Vol I, Issue 7 November 2013
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Research and Insights
Industry Insights | Risk Magazine Article – SABR Spreads Its Wings In this cutting edge feature, as published in Risk Magazine, Numerix explores how traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity 'wings'. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option prices are analytically tractable. In the correlated case, model parameters can be mapped to a mimicking uncorrelated model for accurate option pricing. In this article, Numerix authors Dr. Alexander Antonov, Michael Konikov, and Michael Spector explain how. Read Article
Industry Innovations | Whitepaper – Counterparty Credit Exposure Profile Benchmarks This paper examines the newly revealed Numerix "algorithmic" exposure simulation. The exposures are computed as a by-product of price computations by the American Monte Carlo method. This method has operational benefits since the pricing scripts can be reused for exposure computation. We also compare the Numerix method to the classical bruteforce Monte Carlo approach and conclude that the results agree with high accuracy—while the algorithmic exposure method is significantly faster than the brute-force Monte Carlo method. Numerix users who have signed an NDA or SLA can access the paper by requesting a copy from Numerix Support (support@numerix.com) or by downloading it from the Numerix Knowledge Center here.
Case Study | pbb Deutsche Pfandbriefbank Learn why pbb Deutsche Pfandbriefbank, a leading European specialist bank for real estate finance and public investment finance, selected Numerix for its firm-wide CVA calculations and to help meet its regulatory compliance requirements. Read Case Study
On-Demand Webinars
Missed one of our educational, thought leading webinars? Watch the recording on-demand. Each month we'll feature the latest and most popular webinars hosted by Numerix here, or you can visit our full webinar archive to explore more.
Insurance Focus
Each month the newsletter will feature content tailored to insurance professionals, addressing key pricing, valuation, hedging, product design, ALM and risk management issues for the Insurance sector.
Upcoming Events and Webinars Calendar
November 20, Numerix Webinar | A Holistic View of Risk for Fixed Income Portfolios: Best Practices in Stress Testing and Collateral Management
December 4, Numerix Webinar | Dynamic Replication of Indexed Annuities
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