Pathwise XVA Greeks
Quantitative Research – Jan 31, 2018

Risk Magazine Cutting Edge Article | Pathwise XVA Greeks for Early Exercise Products

Price sensitivities to risk factors, otherwise known as Greeks, have recently been just as challenging to calculate as they are essential in efficient risk management and regulatory reporting. This is especially true in the case of derivatives with... Read More

Featured XVA Research & Insights

Pathwise XVA Greeks
Quantitative Research
Pathwise XVA Greeks for Early-Exercise Products

Price sensitivities to risk factors, otherwise known as Greeks, have recently been just as challenging to...

DOWNLOAD PAPER SHARE
Video Blog – Jan 17, 2018
Keeping Pace with Real-Time Trading Technology

The structural changes stemming from post-crisis regulation have placed market participants under increasing...

Watch Now SHARE
Conference Presentation
Update on SIMM and Margining

This presentation entitled “Update on SIMM and Margining” was given by Hugh Stewart at Chartis Research during...

DOWNLOAD PRESENTATION SHARE
Conference Presentation
Efficient MVA by Backward Differentiation

This presentation entitled “Efficient MVA by Backward Differentiation” was given by Dr. Alexandre Antonov of...

DOWNLOAD PRESENTATION SHARE
On-Demand Webinar
The xVA Transformation: Market Perspectives and Best Practices

The xVA Transformation: Market Perspectives and Best Practices xVA has been a part of the derivatives...

Watch On-Demand SHARE
Analyst Report | White Paper
Aite: Risk System Replacement Pitfalls and Lessons Learned

The CRO Perspective Uncovered

DOWNLOAD REPORT SHARE
Quantitative Research
Efficient SIMM-MVA Calculations for Callable Exotics

Efficient SIMM-MVA Calculations for Callable Exotics - See more at: https://www.numerix.com/quantitative-research-...

DOWNLOAD PAPER SHARE
Conference Presentation
Efficient MVA by Backward Differentiation

This presentation entitled “Efficient MVA by Backward Differentiation ” was given by Dr. Alexandre Antonov of...

DOWNLOAD PRESENTATION SHARE
On-Demand Webinar
MVA: Rationale and Practical Calculations as Margining Rules Tighten

MVA: Rationale and Practical Calculations as Margining Rules Tighten In the wake of regulatory initial...

Watch On-Demand SHARE

More on Valuation Adjustments and XVAs

Accounting for CVA across the Enterprise

Watch the Video: Accounting for CVA across the Enterprise
Pete Travnicek Regional Sales Director of Numerix joins...
Slide Presentation | GARP 2013 Derivative Trading Profitability and Risk Measures
Presented at GARP Annual Risk Management Convention | March 2013
Derivative Trading Profitability and Risk...
On-Demand Webinar | Derivative Trading Profitability and Risk Measures - Front Office and Middle Office Integration of Pricing and Risk Management
Regulation, financial accounting standards, and market forces continue to pressure banks to accurately and quickly...
The Evolution of the Risk Manager - Insights from the GARP Convention and the Risk Landscape in the Nordics

Johan Stromberg Regional Sales Manager Nordics at Numerix joins host and CMO Jim Jockle to recap the 14th Annual...
Economic Value Adjustment – The Intersection of CVA, FVA, OIS, & CSAs for OTC Derivatives

In this video blog, Numerix experts discuss the historical context and interconnectivity between OIS discounting...
On-Demand Webinar | A Quantitative Look at FVA - Theory and Implementation
The practice of incorporating Funding Valuation Adjustment (FVA) into derivative prices has been hotly debated...
John Hull on the FVA Debate and Liquidity Risk in OTC Derivatives

Renowned academic and researcher in the fields of derivatives and risk management, John C. Hull, joins host Jim...
Slide Presentation | RiskUSA 2012 Algorithmic Exposure for Counterparty Risk and CVA Across All Asset Classes
  Presented at RiskUSA | November 2012
This slide presentation from RiskUSA  in November 2012, presented by ...
On-Demand Webinar | Dissecting the FVA Debate
As driven by regulators in the post-crisis environment, managing counterparty credit risk is paramount to today’s...
Understanding FVA: What’s Changed, What’s Next?
When it comes to complex derivative valuation adjustment computations, market practitioners have primarily been...

Pages