DERIVATIVES INDUSTRY UPDATE

FRTB CVA Framework & ISDA SIMM Methodology

In this video blog Dr. Serguei Issakov, SVP of Quantitative Research at Numerix, discusses the latest extensions and revisions of bank capital requirements under Basel III. Serguei explains how the existing CVA capital regulation is being revised to better align with FRTB, and how FRTB overall is serving as a unifying framework for different approaches to the calculation of regulatory capital. Watch Video

Addressing the Variable Annuity Market in Korea

In this video blog Janghyuk Youn, Senior Financial Engineer at Numerix, speaks with HyungKeun Kim, CEO of Risk & Actuary consulting, to discuss the growing variable annuity market in Korea. Watch Video

RISK MAGAZINE CUTTING EDGE ARTICLE

Funding Valuation Adjustment for General Instruments

In this Cutting Edge research article published in the November 2015 Issue of Risk Magazine, Drs Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation for portfolios of general instruments with multiple stochastic assets and funding sources. Download Article

RISK MAGAZINE CUTTING EDGE ARTICLE

The Free Boundary SABR: Natural Extension to Negative Rates

In this Cutting Edge research article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector present a natural generalization of the SABR model to negative rates—which is very important in the current low-interest-rate environment. Download Article

RISK MAGAZINE CUTTING EDGE ARTICLE

Backward Induction for Future Values

In this research paper, Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model. Download Article

Real World Economic Scenario Generation: Typical Uses, Common Modeling Challenges & Practical Examples

Join featured speaker Daniel Schobel, Actuary in the Client Solutions Group at Numerix, for a primer on Real World ESGs, including typical ESG workflows and common challenges. Mr. Schobel also discusses how insurers can overcome common modeling challenges they encounter.
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The Fundamentals of Basel III Bank Capital Regulations

Join featured speaker Dr. Andrew McClelland, Director of Quantitative Research at Numerix, for an overview of Basel III bank capital regulations, in which he clarifies and demystifies the less intuitive aspects of the regulations and sets forth the foundation for a forthcoming webinar on KVA. View Webinar

NUMERIX WHITE PAPER

Bringing Real-time Risk into the Decision-making Process

In this research paper, Satyam Kancharla, Chief Strategy Officer at Numerix, discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making. He explores how integrating risk, collateral and capital costs into the front-office opens the gateway for real efficiencies to be created within a derivatives operation. Download Paper

ppb Deutsche Pfandbriefbank

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 leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE). Read Case Study