overview

Numerix Model Performance Reporting is a subscription service providing in-depth testing of all standard Numerix models, and expert opinions as to model use and suitability of the models based on market conditions. These quarterly reports cover all key elements required from regulators and internal audit including model use parameters, limitations and extensive testing and analysis of results.

 

All reports include:

  • Model definition
  • Purpose and intended use for which models are designed
  • Assumptions & Limitations
  • Performance metrics and analysis of results
  • Summary conclusions and expert opinion on performance under various market scenarios

 

Available Reports

Interest Rate

  • LMM
  • HW1F
  • HW2F
  • BK
  • Shifted BK

Foreign Exchange

  • Heston
  • Black
  • LSV
  • Dupire

Equity

  • Heston
  • Black
  • LSV
  • Dupire
Benefits & Features

Benefits

  • Understand Model Behavior
    Numerix Model Performance reports helps users ensure models have been implemented properly, perform as expected good hedges in all market conditions and to understand model behavior and limitations under extreme market scenarios
  • Regulatory Ready
    Standardized reporting assists firms in meeting key regulatory requirements as part of model risk management directives as per the Basel Committee on Banking Supervision directive 21 and Solvency II, financial institutions. 
Case studies
Banque Internationale a Luxembourg Model...
Belfius Bank Model Validation Case Study
OTP Bank CrossAsset/Model Validation Case Study
Swedbank CrossAsset/Model Validation Case Study
Additional Resources
Written Blog
Model Validation: Risk Management’s First Line of Defense
Written Blog
Model Validation: The ‘Holy Grail’ for Risk Mitigation?
Video Blog
Pricing Model Validation: Regulation & Best Practices
In The News
Numerix Adds Automated Model Validation Software
Press Release
Numerix and MathWorks Deliver Advanced Functionality
On-Demand Webinar
The validation of derivative pricing models can be a slow, labor intensive and...
On-Demand Webinar
Model Validation For Derivative Pricing: The First Line of Risk Management Defense
On-Demand Webinar
Pricing Model Validation – Regulations, Best Practices & New Approaches
White Paper
Model Validation: New Approaches in Testing Mathematical and Financial Correctness...
White Paper
Model Validation: New Approaches in Testing Mathematical and Financial Correctness...
Product
Oneview Model Validation: Consistent and Thorough Validation Achieving Faster Time-...

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