In Vol 3 No 1 Issue of the Numerix Journal, we explore the economic rationale and numerical methods used to address the KVA problem. We also discuss the techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure. We examine the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model. And lastly, we provide an introduction to Numerix Model Validation Services and Model Validation Studio, a platform developed to increase the efficiency of large-scale model validation projects.


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.
 

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. - See more at: https://www.numerix.com/numerix-journal-vol-2-no-2#sthash.3x8Hxhve.dpuf

TABLE OF CONTENTS

Editors Note

ARTICLES

KVA: Economic Rationale and Numerical Methods for Basel III CCR and CVA Capital Charges

Real-World Estimation for the Black, Heston, Bates, Hull White 2F, and CIR 2F Models

Evaluating Regulatory 'Fitness for Purpose' With The Hedge Performance Test

Featured Article on Numerix Products and Services

Introduction to Numerix Model Validation Services

 

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 "Thinking Derivatively" monthly newsletter by Numerix:

* Required fields
on-demand webinar

Riesgo de Contraparte para Latinoamerica (CVA)

video blog

Steering the Initial Margin Process to Determine Full MVA Cost

newsletter issue - Jul 10, 2018

Thinking Derivatively - July 2018 Issue

in the news - Jul 9, 2018

Microsoft Perspectives | Risk and RegTech

analyst report

Risk.net XVA Special Report 2018

news - article pdf - Jul 5, 2018

CEO Today | COO & EVP Dawn Patrick Featured on Cover of CEO Today

news - article pdf - Jul 5, 2018

CEO Today Business Women of the Year Awards 2018 | Dawn Patrick Profile

info graphic

XVAs Defined: The Profitability Puzzle

conference presentation

Fixed Income Investment in Rising Interest Rates

live webinar

Riesgo de Contraparte para Latinoamerica (CVA)

journal issue

Numerix Journal Vol. 5, No. 1

on-demand webinar

Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management