Numerix Journal Vol 2 No 2

In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling.
 
In particular, we would like to highlight the first article in the issue Exposures in the Real World by Efficient Resampling, which describes an efficient resampling method that combines real-world scenario generation with American Monte Carlo simulation of future values.

The Numerix Journal is a periodic publication of research papers, articles, and shorter pieces on quantitative finance and financial software. The goal of the Journal is to serve as a forum for the introduction of new research, modeling methodologies, and presentation of performance and benchmark studies.


TABLE OF CONTENTS

Editors Note

ARTICLES

Exposures in the Real World by Efficient Resampling
 
Backward Induction for Future Values
 
Real-World Interest Rate Scenarios
 
Stressing the PFE: A Case Study for Exotic Interest Rate Swaps

Featured Articles on Numerix Products and Services

An Integrated View of Risk Sensitivities with Numerix OneView
 
Numerix Economic Scenario Generator (ESG) Solutions for Insurers
 
Creating Custom Scenarios with Numerix Risk Scenario Framework (RSF)

 

Looking for more Numerix Journal Issues? Visit our Journal Home Page

Request This Issue

Complete the form below to request this complimentary issue of the Numerix Journal.

Select Form: 

Form #5: Research

Keep me informed of future research from Numerix:

Sign me up to receive "Derivative Insights & Innovations" monthly newsletter by Numerix:

* Required fields
journal issue

Numerix Journal Vol. 4, No. 1

press release - Jul 12, 2017

Numerix Positioned as Category Leader in Chartis RiskTech Quadrant® for FRTB

conference

Asia Risk Congress 2017

conference, industry conference

Investment Solutions Forum 2017

press release - Jun 20, 2017

Sberbank teams up with Numerix to deliver market-leading IT system solution

press release - Jun 19, 2017

Numerix Named Technology Provider of the Year in the Structured Products Americas Awards

numerix conference

Join us for NEXT 2017 - the Global Numerix User Conference

conference, industry conference

Buy-Side Risk Europe

industry conference

Risk Management and Trading Conference 2017

conference presentation

Another Look at Some Quantitative Aspects of the FRTB: Portfolio-Specific Impacts

press release - May 6, 2017

The Numerix FRTB App Now Available on Microsoft AppSource

video blog

Bank Technology, FinTechs and the Impact on the Bottom Line