Banks face increasing pressure from regulators and competitors, and to survive and thrive in the post-crisis world they must leverage technology to become faster, nimbler, and more resilient. Derivative businesses must price trades more accurately and faster than competitors in order to capture deal flow and maintain profitability, all the while keeping a close eye on risk and optimizing funding, collateral use and capital allocation.
Numerix has the cutting edge derivative analytics and deep quantitative experience banks need to maintain a competitive edge and deal with the complexities of the new marketplace. From real-time enterprise risk to XVA calculations to structuring complex products, banks rely on Numerix to help them tackle the pressing challenges they face.
|•||Perform pre-trade pricing with XVA-integrated prices, for any derivative type (from vanillas to exotics) across all asset classes||•||Manage counterparty credit risk and calculate exposure measures (PFE, EPE, ENE etc.), pricing adjustments (CVA/DVA) and CVA sensitivities for hedging|
|•||Value and calculate P&L for derivative portfolios of any size, from hundreds to millions of trades||•||Develop and test derivative trading strategies and hedging programs|
|•||Produce risk sensitivities/Greeks, scenario analyses, VaR and Expected Shortfall for market risk management||•||Structure, distribute and manage the risk of structured products and exotics|
|•||Perform stress tests, shocks and scenario analysis for regulatory purposes as well as risk management purposes||•||Integrate industry standard analytics into a bank’s proprietary systems or use them to extend third party systems|
|•||Manage model risk and validate pricing models, as well as perform model comparisons||•||Optimize margin and collateral usage and accurately price CSA optionality|