SOFR Status Check - Understanding the New U.S. LIBOR Alternative Rate
Webinar 12/12 | In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR.
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.
MVA: How to Forecast Initial Margin for Client Trades and Dynamic Hedges
Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.
The Current State of XVA Adoption
This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today
Preparing for a World Without LIBOR: Where Are We Now?
With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants.
Risk.net and Numerix: Exploring MVA & Initial Margin
On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.
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.
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.
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Steering the Initial Margin Process to Determine Full MVA Cost
How IM requirements arise from client trades and the hedge trades they necessitate
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.
A Competitive Edge in OTC E-Trading
Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter.
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?
Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management
Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today.
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.