First to Market CVA Solution Paves the Way for Numerix’s Continued Dominance in XVA Pricing and Risk Management in 2017
New York, NY – April 12, 2017
Numerix, the leader in risk technology, today is proud to announce the company’s latest award win: Best Sell-Side Credit Risk Product. The awards presentation was hosted by Waters Technology on April 5 in New York City.
When Numerix was first to market with its CVA solution in 2012, it was a game changer for the market. Today, FRTB and SA CCR have further transformed front-office operating models, and margining requirements have changed the economics of collateral. Collectively, the all-in price of derivatives trading, or XVA, has emerged as the new analytical language linking the front, middle and back office.
“The counterparty credit risk needs of five years ago are not the risk analytics needs of today. New business models pursued by the sell-side have driven a substantial shift in analytics infrastructure,” said Steve O’Hanlon, Chief Executive Officer of Numerix. “Recognizing where most other front office platform providers fall short, Numerix has focused on scale, data management, openness and flexibility. As today’s needs are not only focused on accuracy but performance, Numerix has responded to address large scale data requirements, speed and flexibility.”
Our top priority has been to improve performance and speed of calculations. While the front office needs low-latency – 20 millisecond CVA for automated trading, a few seconds for manual trading – the middle office requires extremely high throughput, audit capabilities and data lineage control. Today, customer expectations for XVA calculations are expected to be 5 to 10 times faster than modules used just a short time ago. These requirements are mainstream.
Over the past year, we accomplished this by implementing and leveraging a consistent data model, having full and complete understanding of the data, optimization of calculations and avoidance of redundant calculations. With a greater focus on back testing PnL attribution and analytics, Numerix has more efficiently streamlined the XVA process for clients.
“As Numerix continues to be recognized as the credit risk leader, it’s in large part due to its continued advancement of technology and productization of cutting-edge quantitative developments,” said Satyam Kancharla, Chief Product and Strategy Officer of Numerix. “Having an American Monte Carlo backward induction framework has absolutely given Numerix an advantage over competitors. Our hybrid modelling framework has also continued to be a differentiator, and advancements in dependency tracking have also increased our ability to avoid calculations that are not needed. We also provide perhaps the most flexibility when it comes to collateral scripting, where we can help users define even the most complex CSA terms.”
O’Hanlon concludes: “Our focus continues to be on the development of a central, consistent analytics engine for our Oneview Risk solutions, where clients can build business process around XVA calculation. The ability to manage and optimize balance sheet and PnL with respect to XVA, optimize use of regulatory capital with respect to expected return and meet all regulatory requirements with respect to ‘VA’s continue to be top priority as we address clients’ needs around the world.”
About Numerix
Numerix is the leading provider of innovative capital markets technology solutions and real-time intelligence capabilities for trading and risk management. Committed to out-of-the box thinking, the exploration and adoption of latest technologies, Numerix is dedicated to driving a more open, fintech oriented, digital financial services market. Built upon a 20+ year analytical foundation of deep practical knowledge, experience and IT understanding, Numerix is uniquely positioned in the financial services ecosystem to help its users reimagine operations, modernize business processes and capture profitability. For more about Numerix: http://www.numerix.com/
PR Contact:
Emily Jean-Pierre
Vice President of Public Relations
P: +1 646 898 1294
M: +1 646 373 9654
ejeanpierre@numerix.com
