Analyzing the Global Usage of XVAs
This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC.
Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics
In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid.
Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine
Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users.
Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition
This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products.
Numerix: Pushing Boundaries to Create Breakthrough Technology
Learn why Numerix is the leading provider of capital markets technology
Build Capital Market Apps Faster with NxCore Cloud
Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users.
Technology and Human Disruptors Impacting the Capital Markets
This paper reveals how certain technology and human trends are transforming the capital market ecosystem.
Derivative Insider Webinar Series: Cautionary Insights on Software Development
In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h
A Few Insights into Crypto Risk
In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market.
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The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives
In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors.
LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help
Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces.
The State of XVA Usage in Latin America – A 2022 Update
This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region.
Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation
This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector
Where are you in your SEC Rule 18f-4 implementation?
Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022.
Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology
In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems.
The XVA Challenges Energy Traders Face in a Complicated and Volatile Market
Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions.
Navigating SEC Rule 18f-4: Enhancing Derivatives Risk Management Programs
Watch this webinar to gain a clear perspective on what actions must be take now to comply with the new regulation and gain an enhanced risk management approach for your derivatives operations.
Innovation Through Fintech Partnership: Numerix + CubeLogic
Discover how the accelerating pace of technology innovation Is spawning breakthroughs in capital markets solutions.
The Current Landscape of Electronic Trading: A Discussion Among Experts
In this e-trading forum, Numerix features a panel of industry leaders who discuss the key trends shaping the evolution of electronic trading
Supporting ISDA SIMM™: Key Considerations You Need to Know
Is your institution going to be part of the final two phase-ins of initial margin (IM) rules for non-cleared derivatives?
XVA: Valuations’ Generation X
Commissioned by Numerix and produced by Aite Group, explores how banks have evolved over the pastfew years to incorporate the growing family of trade valuation adjustments for pricing, accounting and regulatory reporting requirements.
The Availability of New Technologies and a Renewed Focus on Digital
In Part 2 of this white paper series that examines the transformation of the capital markets and the emerging dynamics impacting front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services Satyam Kancharla shares his views on the accelerating pace of technology change and innovation in the capital markets.
The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway
In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates
React, Adapt and Enact: The Catalysts to Capital Markets Transformation
In Part I of this white paper series examining the dynamics and future of front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services, Satyam Kancharla delivers an expert view on these drivers of change and their implications for the current and future state of the capital markets.
Numerix Journal Vol. 5 No. 2
The Vol. 5 No. 2 Issue of the Numerix Journal spotlights theoretical aspects of current and upcoming Numerix features. It begins with a discussion of MVA and Initial Margin requirements, and next looks at the Numerix implementation of the FX Joint Heston model. The issue also examines probability distributions of barrier hitting times, and includes a white paper on European swaption pricing methodology for the Hull-White two-factor model. Finally, the issue highlights Numerix’s implementation of an arbitrage-free volatility surface using a linear programming formulation.
The Current State of XVA Adoption
This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today
The 5 Top-of-Mind Issues Dominating the LIBOR Transition
Learn what we believe to be the 5 top-of-mind issues facing market participants today.
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Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018
Numerix is proud to be recognized as a leading provider of front office risk management technology (FORM) by Chartis Research, a leading research firm focused on the global market for risk technology.
Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics
In this Cutting Edge research article published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivities of future trade values.
Charting a Course for a Successful XVA Program
This white paper outlines market perspectives and best practices for navigating through an XVA implementation project.
Risk.net XVA Special Report 2018
This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the OTC derivatives marketplace today, such as the complications of XVA adoption, the impact of regulatory drivers, the complexity of pricing and risk calculations, the radical changes presented by new technologies, and the elusive capturing of profitability.
XVAs Defined: The Profitability Puzzle
Numerix experts break down the growing list of XVA pricing adjustments impacting derivatives, explore how they interact and their relationship to the overall profitability of a derivatives business.
Numerix Journal Vol. 5 No. 1
The Vol. 5 No. 1 issue focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year.
LIBOR Alternative Rates: The Future of OTC Derivatives Pricing and Curve Construction
How will LIBOR alternative rates impact derivatives valuations and curve construction going forward?
Putting Quantitative Innovation into Focus for XVAs
Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization.
MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets
MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers.
Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent
Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand.
Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve
Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise.
A Quantitative Look at FVA - Theory and Implementation
Many practitioners have found developing and implementing an accurate FVA framework challenging both theoretically and practically. Join Numerix on 2/28 for a quantitative discussion with Dr. Alexandre Antonov, SVP, Quantitative Research, as he reviews current FVA theory and outlines a new universal FVA framework. Register to view On-Demand.
Breaking Black: The Hybrid Nature of Investment Guarantees
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Economic Scenario Generation: Risk Neutral Modeling in Theory and Practice
Numerix webinar Replay discussing Risk Neutral Economic Scenario Generation. Will cover foundations of Risk Neutral Theory, Hybrid Framework and Joint Calibration approaches and Advanced Indicies Generation. Register to view On-Demand.
Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment
Webinar discussing Funding Value Adjustment (FVA) and its role in derivative valuations, trading, and liquidity management.