Numerix Clear Market leader for CVA, FVA & DVA Calculation, Drives Innovation with Automated Model Validation Testing Technology

New York, NY – December 8, 2014 – Numerix, (www.numerix.com) the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced that it has been voted #1 in the annual Risk Technology Rankings for the individual categories of “Enterprise Risk Management” - CVA, DVA and FVA calculations and “Pricing Analytics” - Structured Products.

Regulatory and accounting compliance driven by Basel III CVA capital charges and IFRS 13, as well as the move from bilateral trades to central clearing continues to create complex challenges and optimization problems for many financial institutions. XVA calculations also require simulation-based approaches which are computationally demanding and a challenge to produce fast enough to incorporate into pre-trade prices.

“The flexibility of CrossAsset is a key differentiator for Numerix. It not only allows us to adapt to future regulatory and market infrastructure changes, but seamlessly displace inflexible legacy systems that aren’t capable of producing robust, high-performance calculations,” said Steven R. O’Hanlon, Chief Executive Officer & President of Numerix. “Counterparty Credit Risk calculations made available post-trade, or even in overnight batch calculations is totally insufficient for intra-day,  pre-trade risk management, limit checks and counterparty decision making. Numerix XVA analytics brings the full range of valuation adjustments into pre-trade analysis enabling real-time results for fast trading and risk decision making.”

Over the past year, Numerix has continued to innovate its solution for the measurement and management of counterparty exposures as institutions seek to adopt a more holistic approach for assessing trade profitability and allocating capital to their business. Numerix introduced its next generation CVA offering built on its enterprise pricing and risk analytics engine the Numerix CrossAsset analytics platform. Numerix CrossAsset enables a consistent source of calculations within a real-time enterprise framework that’s scalable, transparent and flexible.  Calculations can be performed on a desktop or server, or distributed to a grid or cloud to achieve real-time performance for pre-trade analysis.

Addressing is Model Risk and Model Validation

As noted by Editors, another issue regulators want to see addressed is the ability to validate their valuation and risk models. The problem is that while banks introduce new models nimbly to support new instruments or strategies validation can take 12 to 18 months to complete.

“To take advantage of these opportunities, banks can deploy the new models, but must put exposure limits against them as well as capital reserves,” said Jim Jockle, Chief Marketing Officer and Senior Vice President of Numerix. "Anything that can be done to facilitate faster model validation helps the front office take advantage of the opportunities.”

To solve this problem, Numerix developed an extensive testing regime that certifies the mathematical and financial correctness of the models.  What is truly ground breaking is the creation of an automated solution, Numerix Model Validation Studio, a software offering which eliminates the need for an error prone and slow manual process.  With the solution, model risk groups have the ability to test model performance on a daily basis against real markets, with greater accuracy utilizing thousands of scenarios.  

Crucially, validation also takes place without accessing the model's underlying code. "Everyone is protective of their intellectual property, so not accessing the code was a critical requirement and the biggest challenge we had to solve," Jockle concluded.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 90 partners across more than 26 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Boston, Chicago, San Francisco, Sao Paulo, Vancouver, London, Paris, Milan, Stockholm, Frankfurt, Dubai, Beijing, Mumbai, Hong Kong, Seoul, Singapore, Sydney, Tokyo and Taipei, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

Emily Ahearn
Director of Public Relations
Numerix
Phone 646 898 1294
Email: eahearn@numerix.com

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