STIRs and OIS Futures in the Hull-White Model
This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.
Applying AI to Streamline the LIBOR Transition
Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.
Greenwich Associates Webinar: Trading, Technology and the Libor Transition
An interactive discussion on the impacts of the Libor transition on the technology and processes that power the trading desk.
Impact Analysis: The 2020 Clearing House Switch from OIS to SOFR Discounting
Learn how Numerix and Python can be used to perform impact analysis on the switch from OIS to SOFR discounting, including the expected cash compensation and risk exchanges from major clearing houses in October 2020.
Preparing for the Switch to SOFR Discounting
Ping Sun, SVP of Financial Engineering for Numerix explores the many facets of discounting risk as exchanges switch from OIS to SOFR discounting.
Talking XVA: Pace of Adoption, New Technology & Cloud
Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more
Advances in Tenor Basis Modeling: Boundedness, Specification & Calibration
In this webinar, Andrew McClelland Ph.D., introduces a lower-bounded multi-curve Cheyette model, with lower bounds owing to level dependence in spread volatilities and derives swaption pricing formulae and other quantities relevant for practical use.
A "Playbook" for Automating the Front Office
This paper serves as a brief “playbook” on how to get started on automating the front office. Author, Jim Jockle, CMO of Numerix discusses several proven strategies.
How to Prepare for the Next Phases of Initial Margin Requirements
This webinar explores what’s changed under the newest revisions, what’s expected ahead of final phases and took a deep dive into key lessons learned from the prior phases.
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Evolving XVAs: How to Manage Changing Regulation and Competitive Pricing
This webinar looked at the XVA landscape, the changing regulatory environment and assessed the challenges of staying competitive and mitigating risks. We also discussed how the cloud and analytics are able to bring new life to managing XVAs.
Increased Adoption and Innovation Are Driving the Structured Products Market
In this white paper, we discuss how the structured notes business is becoming more digitized and why a broader range of market participants are now issuing these products.
Risk Magazine Cutting Edge Article | MVA Future IM for Client Trades and Dynamic Hedges
Alexandre Antonov, Serguei Issakov and Andy McClelland propose that IM for both sides should be forecast and reflected in MVA.
The Transformative Impacts of the XVA State of Play
In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
Numerix Oneview for Trading
In this short animated video, discover how Numerix Solutions provides holistic trading analysis with Oneview for Trading.
What is Numerix Oneview?
Numerix Oneview offers solutions that help manage the complexities of the changing capital markets landscape, effectively manage risk and build a new competitive edge.
Using Numerix & Python to Construct Alternative Reference Rate Curves
Learn about building SOFR curves using Numerix CrossAsset and Jupyter Notebooks with Python
Numerix Oneview for XVA
In this short animated video, discover how Oneview’s next-generation technology provides the edge they need to compete and win in their markets.
Risk as a Service: For Many, a Better Way to Derive Value from New Technology
Over the last several years, a vortex of regulatory, operational, technological, and growth challenges have caused significant shifts in banks’ operating environments and business models. This has created an environment ripe for the application of managed services.
Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss
In this article, we propose a new model for the dynamics of the aggregate credit portfolio loss. The model is Markovian in two dimensions with the state variables being the total accumulated loss Lt and the stochastic default intensity λt.
Markovian Projection onto a Displaced Diffusion
In this paper, we develop a systematic approach to Markovian projection onto an effective displaced diffusion, and work out a set of computationally efficient formulas valid for a large class of non-Markovian underlying processes.
Markovian Projection Onto a Heston Model
In this article, we develop a systematic approach to the reduction of dimensionality of smile-enabled models by projecting them onto a displaced version of the two-dimensional Heston process.
Efficient Calibration to FX Options by Markovian Projection in Cross-Currency LIBOR Market Models
In this article, we revisit the cross-currency LIBOR Market Model armed with the technique of Markovian projection.
Overlapping Credit Portfolios
In this article, we present an accurate analytical approximation for a joint distribution function of loss of two overlapping credit portfolios using the multidimensional saddlepoint method.
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures
In this article, we present pricing and risk management of synthetic CDOs and risk management of credit portfolios are closely related problems as both require modeling of the same distribution of portfolio loss.
Interest Rate Modelling Framework in Discrete Rolling Spot Measure
In this paper authors Alexander Antonov and Han Lee present a discrete framework on event time grid for a cross-currency term structure modelling.