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.
Subscribe to our monthly newsletter to get exclusive resources from Numerix.
New QuantTech Platforms Paving Way for More Effective Trading Operations
QuantTech is comprised of comprehensive development platforms, rich data management capabilities and streaming real-time analytics for creating, testing and deploying innovative ideas.
To Cloud or Not to Cloud: Shifting Attitudes Around Cloud Adoption
Paul Sinthunont, Strategic Advisor at Aite-Novarica Group unveil key findings from one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving—or holding back—cloud migration decisions for trading and risk management functions.
Estimating Cross-Model Correlations for CCR & XVA
In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA.
Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets
In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business.
Aite-Novarica Report
In new research report Audrey Blater of the Aite-Novarica Group shares key findings from her one-on-one interviews with key stakeholders across the financial services sector to uncover what’s driving cloud migration decisions for trading and risk management functions.
The report analyzes the factors influencing banks when it comes to deciding whether or not to migrate to the cloud and discusses what is needed to bring a pro-cloud shift into the decision-making process. The report also provides views on why on-premise legacy systems may or may not be preferred.
Transforming Treasury and Derivatives management post Covid-19
In this webinar, Numerix and Risk.net, will examine new strategies to enhance your derivatives business and treasury management in the face of Covid-19, regulatory changes and counterparty risk.
Digitalisation of Derivatives Trading: Utilising Technology to Increase Profits
In this webinar, learn how new technologies, such as AI and machine learning, can be leveraged to better manage several aspects of a derivatives business.
Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets
Numerix’s Andrew McClelland, SVP of Quantitative Research, addresses natural gas and electricity curves and the dynamics that complicate modelling,
XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity
In this webinar, panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.
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.
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.
Subscribe to our monthly newsletter to get exclusive resources from Numerix.
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.
LIBOR: Its Astonishing Ride and How to Plan for Its End
Explaination of what's important when preparing for 2021
Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products
Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives.
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.