white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
white paper Zero-Day Options: Unique Market Dynamics and Risk Considerat... Read more about Zero-Day Options: Unique Market Dynamics and Risk Considerations
webinar XVA Dynamics from a Buy-Side Perspective: The Latest Strateg... Read more about XVA Dynamics from a Buy-Side Perspective: The Latest Strategies and Insights
Resources Filter by Type All Resources Publications Webinars Case Studies Videos Podcasts Events Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform blog 3 Ways to Optimize Risk Management in Unpredictable Markets How can capital markets firms remain competitive in the face of soaring inflation, geopolitical tensions and climbing interest rates? We share three proven ways you can improve your risk management function in order to prepare for the inevitable uncertainty that lies ahead. Read Blog white paper As Action Time Nears, Be Aware of These 3 Big FRTB Issues This white paper reviews three of the core issues and challenges that demonstrate some of the ways FRTB will impact the capital markets. Read white paper webinar Cloud Control: Optimising Cloud for Risk Management Gains In May 2023, Risk.net hosted this exclusive session with Executive Director of Numerix, Obaid Dehlavi, which covers expert insight on the challenges of working in the cloud, lift and shift, managing scale and more. Register Now blog Analyzing the Transformation of the Role of the Chief Risk Officer Increasing global risks, economic uncertainty, and the evolving financial industry are having an unprecedented impact on risk managers’ function, skillset, and expertise. In this blog we provide an analysis of how the role of the Chief Risk Officer (CRO) is changing. Read Blog journal issue Numerix Journal Vol. 8 No. 1 (QA: Journal Issue) The Vol 8. No. 1 issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Read journal issue webinar Zero-day options: ticking time bombs or high alpha trades? In June 2023, Risk.net gathered a panel of experts to provide their perspectives on 0TDE options. Register Now newsletter July Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | The Changing Role of the CRO, Using Chat GPT to Build a Risk Application, and More Read newsletter blog Exploring 3 Hot Topics in Energy and Commodity Trading In this blog, we will explore topics in energy trading and risk management as discussed at E-world, Europe's leading energy trade fair. Read Blog webinar A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application Can ChatGPT be leveraged by capital markets firms, and if so, how? Join James Gavin of Numerix as he walks through a practical example of using ChatGPT to calculate Value-at-Risk (VaR) on a swap portfolio and building a lightweight VaR application. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded white paper For the Capital Markets, Every Risk Playbook Needs to Implement These 6 Themes This white paper outlines 6 risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead. Read white paper newsletter June Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology Read newsletter webinar Future Directions for Capital Markets Technology in the Digital/AI Revolution This webinar is part of Numerix's ongoing “Derivative Insider” series. In this installment, Neil Chinai, Operating Partner at Sand Hill East, joins Numerix’s CMO James Jockle to discuss his outlook on promising new capital markets technologies. Register Now webinar FRTB in a Fast-Changing World: Is the Regulation Still Relevant? An update on FRTB progress around the world, as well as challenges and quirks of the regulations that practitioners should be aware of as they finalize their preparations. Register Now white paper Assessing How Businesses Across the Globe Are Addressing Inflation-Driven Risk Management Numerix distributed an internal Inflation Risk Management survey. This paper presents the survey's findings and discusses the different ways banks and asset managers globally try to protect against inflation risk. Read white paper newsletter May Newsletter 2023 Thinking Derivatively | May 2023 | In this Issue: Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter newsletter May Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter blog Our Experience Towards AWS Adoption In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS. Read Blog webinar Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market. Register Now Pagination First page « First Previous page Previous … Page 2 Page 3 Page 4 Page 5 Current page 6 Page 7 Page 8 Page 9 Page 10 … Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform Content type All Publications Analyst report Article Blog post Journal issue Newsletter Quantitative research White paper quantitative research Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads. Read quantitative research analyst report Aite Impact Report A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front. Read analyst report white paper How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business. Read white paper analyst report LIBOR Risk Q3 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report analyst report The Tipping Point of Cloud and Risk Management in Capital Markets Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud. Read analyst report white paper LIBOR Transition Readiness: The Current Narrative Results of a Numerix Global Survey on the LIBOR Transition Read white paper quantitative research Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface In this Cutting Edge research article, published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivites of future trade values. Read quantitative research white paper The Current State of XVA Usage in Latin America In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region. Read white paper blog The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness. Read Blog Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded analyst report Structured Notes: Transforming Risk into Opportunities In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products. Read analyst report analyst report LIBOR Risk Q1 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report quantitative research Neural Networks with Asymptotics Control Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models. Read quantitative research blog The Market Impact of SOFR Discounting: What We Know So Far Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far Read Blog white paper The Capital Markets 2020: In the Eye of Two Storms In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets. Read white paper analyst report Trading, Technology and the LIBOR Transition Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates. Read analyst report white paper Analyzing the Market Impact of SOFR Discounting In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow. Read white paper journal issue Numerix Journal Vol. 6 No. 1 The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process. Read journal issue quantitative research STIRs and OIS Futures in the Hull-White Model This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping. Read quantitative research Pagination First page « First Previous page Previous … Page 2 Page 3 Page 4 Page 5 Current page 6 Page 7 Page 8 Page 9 Page 10 … Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform webinar MVA: How to Forecast Initial Margin for Client Trades and Dynamic Hedges Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank. Register Now webinar Preparing for a World Without LIBOR: Where Are We Now? With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants. Register Now webinar Risk.net and Numerix: Exploring MVA & Initial Margin On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank. Register Now webinar A Competitive Edge in OTC E-Trading Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter. Register Now webinar Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today. Register Now webinar The End of LIBOR: Implications and Preparing for 2021 Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark. Register Now webinar MVA: Rationale and Practical Calculations as Margining Rules Tighten Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades. Register Now webinar FRTB's Sensitivity Based Approach Two-Part Webinar Series Numerix invites you to join us for a two-part on-demand webinar series covering FRTB's Sensitivity Based Approach. Featured speakers Dr. Paolo Tarpanelli and Mr. Juan Vargas discuss the importance of the Sensitivity Based Approach and its methodology, as well as offer case studies to show the potential business impact of these new FRTB regulations. Register Now webinar The Next Chapter of FRTB: What to Know About FRTB’s New CVA Capital Framework What You Need to Know About FRTB’s New CVA Capital Framework Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar Impact of Negative Rates on Derivatives Valuations & Risk Calculations Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero. Register Now webinar CVA Greeks: Their Importance, Common Calculation Methodologies, & Testing for Accuracy On April 13th Laure Darleguy discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence. Register Now webinar XVA Best Practices: Regulatory Drivers, Analytical Challenges & Techniques for Recapturing Profitability Dr. Victor Masch Vice President of Global Strategy at Numerix, reviews the state of the XVA ecosystem, their impacts on profitability, and offered insights into efficient ways to incorporate XVA into the management processes. Register Now webinar Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches. Register Now webinar KVA for Counterparty Credit Risk Capital & CVA Capital Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provides a quantitative introduction to KVA calculations for Counterparty Credit Risk (CCR) capital and CVA capital. Register Now webinar 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. Register Now webinar 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. Register Now webinar 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. Register Now webinar 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. Register Now Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Current page 6 Page 7 Next page Next Last page Last » Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. 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Who We ServeMarket RiskQuantitative Research & DevelopmentSalesSoftware DevelopmentSoftware VendorsValuationsAccountingActuariesConsultingCounterparty Credit RiskIT & InfrastructureStructuringAudit/AdvisoryModel ValidationRegulationsTradingCollateral ManagementPortfolio ManagementXVA DeskFront Office & TradingRisk ManagementBack Offices & OperationsQuant & ActuariesTechnology & DevelopmentFinTech & Consultants What We OfferDevelopment PlatformExoticsValuationGraph FrameworkMarket RiskVanilla DerivativesFixed Income & Structured FinanceXVA & Counterparty RiskOTC TradingStructured Finance Trading & RiskBanking Asset Liability ManagementDerivatives & Fixed Income AnalyticsFront-to-Risk ApplicationsCapital Markets Development Platform No resources found. 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blog 3 Ways to Optimize Risk Management in Unpredictable Markets How can capital markets firms remain competitive in the face of soaring inflation, geopolitical tensions and climbing interest rates? We share three proven ways you can improve your risk management function in order to prepare for the inevitable uncertainty that lies ahead. Read Blog
white paper As Action Time Nears, Be Aware of These 3 Big FRTB Issues This white paper reviews three of the core issues and challenges that demonstrate some of the ways FRTB will impact the capital markets. Read white paper
webinar Cloud Control: Optimising Cloud for Risk Management Gains In May 2023, Risk.net hosted this exclusive session with Executive Director of Numerix, Obaid Dehlavi, which covers expert insight on the challenges of working in the cloud, lift and shift, managing scale and more. Register Now
blog Analyzing the Transformation of the Role of the Chief Risk Officer Increasing global risks, economic uncertainty, and the evolving financial industry are having an unprecedented impact on risk managers’ function, skillset, and expertise. In this blog we provide an analysis of how the role of the Chief Risk Officer (CRO) is changing. Read Blog
journal issue Numerix Journal Vol. 8 No. 1 (QA: Journal Issue) The Vol 8. No. 1 issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Read journal issue
webinar Zero-day options: ticking time bombs or high alpha trades? In June 2023, Risk.net gathered a panel of experts to provide their perspectives on 0TDE options. Register Now
newsletter July Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | The Changing Role of the CRO, Using Chat GPT to Build a Risk Application, and More Read newsletter
blog Exploring 3 Hot Topics in Energy and Commodity Trading In this blog, we will explore topics in energy trading and risk management as discussed at E-world, Europe's leading energy trade fair. Read Blog
webinar A Step-by-step Guide to Using ChatGPT to Build a Simple Risk Application Can ChatGPT be leveraged by capital markets firms, and if so, how? Join James Gavin of Numerix as he walks through a practical example of using ChatGPT to calculate Value-at-Risk (VaR) on a swap portfolio and building a lightweight VaR application. Register Now
white paper For the Capital Markets, Every Risk Playbook Needs to Implement These 6 Themes This white paper outlines 6 risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead. Read white paper
newsletter June Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Top Themes for Any Risk Playbook, the Future Direction of Capital Markets Technology Read newsletter
webinar Future Directions for Capital Markets Technology in the Digital/AI Revolution This webinar is part of Numerix's ongoing “Derivative Insider” series. In this installment, Neil Chinai, Operating Partner at Sand Hill East, joins Numerix’s CMO James Jockle to discuss his outlook on promising new capital markets technologies. Register Now
webinar FRTB in a Fast-Changing World: Is the Regulation Still Relevant? An update on FRTB progress around the world, as well as challenges and quirks of the regulations that practitioners should be aware of as they finalize their preparations. Register Now
white paper Assessing How Businesses Across the Globe Are Addressing Inflation-Driven Risk Management Numerix distributed an internal Inflation Risk Management survey. This paper presents the survey's findings and discusses the different ways banks and asset managers globally try to protect against inflation risk. Read white paper
newsletter May Newsletter 2023 Thinking Derivatively | May 2023 | In this Issue: Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter
newsletter May Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Inflation Risk Management, AWS Adoption, FRTB Webinar Read newsletter
blog Our Experience Towards AWS Adoption In this blog, Numerix Chief Technology Officer, William Humphrey, shares details of our experience towards adopting AWS. Read Blog
webinar Risk.net | D-day for the Rates Market: Solving the Outstanding Issues in US Libor Transition In March 2023, Risk.net gathered a panel of experts to discuss the issues facing the market, the progress made so far and the outstanding issues facing the 'new look' rates market. Register Now
quantitative research Risk Magazine Cutting Edge Article | Multi-curve Cheyette-style models with lower bounds on tenor basis spreads This article presents a general multi-curve Cheyette-style model that allows precise control over tenor basis spreads. Read quantitative research
analyst report Aite Impact Report A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front. Read analyst report
white paper How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business. Read white paper
analyst report LIBOR Risk Q3 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report
analyst report The Tipping Point of Cloud and Risk Management in Capital Markets Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud. Read analyst report
white paper LIBOR Transition Readiness: The Current Narrative Results of a Numerix Global Survey on the LIBOR Transition Read white paper
quantitative research Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface In this Cutting Edge research article, published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivites of future trade values. Read quantitative research
white paper The Current State of XVA Usage in Latin America In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region. Read white paper
blog The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness. Read Blog
analyst report Structured Notes: Transforming Risk into Opportunities In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products. Read analyst report
analyst report LIBOR Risk Q1 2020 In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR. Read analyst report
quantitative research Neural Networks with Asymptotics Control Artificial Neural Networks (ANNs) have recently been suggested for use in derivatives pricing applications as accurate and fast approximators to various financial models. Read quantitative research
blog The Market Impact of SOFR Discounting: What We Know So Far Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far Read Blog
white paper The Capital Markets 2020: In the Eye of Two Storms In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets. Read white paper
analyst report Trading, Technology and the LIBOR Transition Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates. Read analyst report
white paper Analyzing the Market Impact of SOFR Discounting In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow. Read white paper
journal issue Numerix Journal Vol. 6 No. 1 The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process. Read journal issue
quantitative research STIRs and OIS Futures in the Hull-White Model This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping. Read quantitative research
webinar MVA: How to Forecast Initial Margin for Client Trades and Dynamic Hedges Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank. Register Now
webinar Preparing for a World Without LIBOR: Where Are We Now? With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants. Register Now
webinar Risk.net and Numerix: Exploring MVA & Initial Margin On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank. Register Now
webinar A Competitive Edge in OTC E-Trading Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter. Register Now
webinar Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today. Register Now
webinar The End of LIBOR: Implications and Preparing for 2021 Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark. Register Now
webinar MVA: Rationale and Practical Calculations as Margining Rules Tighten Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades. Register Now
webinar FRTB's Sensitivity Based Approach Two-Part Webinar Series Numerix invites you to join us for a two-part on-demand webinar series covering FRTB's Sensitivity Based Approach. Featured speakers Dr. Paolo Tarpanelli and Mr. Juan Vargas discuss the importance of the Sensitivity Based Approach and its methodology, as well as offer case studies to show the potential business impact of these new FRTB regulations. Register Now
webinar The Next Chapter of FRTB: What to Know About FRTB’s New CVA Capital Framework What You Need to Know About FRTB’s New CVA Capital Framework Register Now
webinar Impact of Negative Rates on Derivatives Valuations & Risk Calculations Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero. Register Now
webinar CVA Greeks: Their Importance, Common Calculation Methodologies, & Testing for Accuracy On April 13th Laure Darleguy discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence. Register Now
webinar XVA Best Practices: Regulatory Drivers, Analytical Challenges & Techniques for Recapturing Profitability Dr. Victor Masch Vice President of Global Strategy at Numerix, reviews the state of the XVA ecosystem, their impacts on profitability, and offered insights into efficient ways to incorporate XVA into the management processes. Register Now
webinar Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches. Register Now
webinar KVA for Counterparty Credit Risk Capital & CVA Capital Dr. Andrew McClelland, Director of Quantitative Research at Numerix, provides a quantitative introduction to KVA calculations for Counterparty Credit Risk (CCR) capital and CVA capital. Register Now
webinar 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. Register Now
webinar 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. Register Now
webinar 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. Register Now
webinar 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. Register Now