Real World Economic Scenario Generation: Typical Uses, Common Modeling Challenges & Practical Examples
On Wednesday, November 18th featured speaker Daniel Schobel outlined typical uses of Real World ESGs and discussed how insurers can overcome common modeling challenges they encounter.
Mazars Case Study
Mazars, an international, integrated and independent organization, specializing in audit, accountancy, tax, legal and advisory services selected Numerix CrossAsset analytics to be used within Mazars Actuariat by the Quantitative and Actuarial teams for derivatives pricing, modeling and insurance actuarial work.
"Hot-start" Initialization of the Heston Model
The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.
A Primer on Solvency II for Insurers Around the Globe
On Wednesday, October 14th featured speaker Luca Trussoni, Senior Financial Engineer at Numerix, presented an introduction to Solvency II to help insurance practitioners around the world better understand the “big picture” of the directive.
Real World Algorithmic Exposure: An Innovative New Approach for Nested Simulations
On Wednesday, September 16th featured speaker Dr. Ping Sun, Executive Director of Financial Engineering at Numerix, provided an introduction to Real World Algorithmic Exposure and outlined how it can be utilized by both capital market and insurance practitioners for advanced risk measures like RW PFE and for other RW/RN nested simulations.
Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates.
Research In Brief | Negative Rates: The Challenge and the Opportunity
Dr. Ion Mihai, explores how negative interest rates have recently become a critically important issue in finance.
Bringing Real-time Risk into the Decision-making Process
Satyam Kancharla discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making.
Cathay United Bank Case Study
Designed specifically for TMUs, Numerix Treasurer helps Cathay United Bank differentiate its Customer Service and enhance overall operational efficiency while providing comprehensive, accurate and timely regulatory reporting.
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Numerix Journal Vol. 2, No. 1
In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions.
Advanced Analytics for the SABR Model
In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing.
Swedbank CrossAsset/Model Validation Case Study
Swedbank selected Numerix CrossAsset for pricing complex structures and model validation. The Numerix CrossAsset analytics platform provides a framework for structuring, pricing and managing complex derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using real-time data.
pbb Deutsche Pfandbriefbank XVA/CVA Case Study
pbb Deutsche Pfandbriefbank selected Numerix for its firm-wide CVA calculations to assist with regulatory compliance. Chosen for its accurate, near real-time credit risk valuations, Numerix XVA/CVA leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE).
OTP Bank CrossAsset/Model Validation Case Study
OTP Bank leverages Numerix CrossAsset for model validation, pricing complex derivatives and drilling down to comprehensive pre- and post-trade risk analysis, including Greeks, scenarios and stress testing.
Nested Stochastic Simulations: Bridging Risk & Pricing Models
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.
Kerius Finance CrossAsset Risk Case Study
Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies.
HDFC Bank Market Risk Case Study
Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office.
The Free Boundary SABR: Natural Extension to Negative Rates
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.