Resources

webinar

Portfolio Management Using Advanced Market & Credit Simulations

Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions.

webinar

Modernizing Risk Management Technology: Has the Game Changed?

How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks?

white paper

Analyzing the Global Usage of XVAs

This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC.

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webinar

Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics

In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid.

webinar

Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine

Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users.

article

Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition

This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products.

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video

Numerix: Pushing Boundaries to Create Breakthrough Technology

Learn why Numerix is the leading provider of capital markets technology

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webinar

Build Capital Market Apps Faster with NxCore Cloud

Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users.

white paper

Technology and Human Disruptors Impacting the Capital Markets

This paper reveals how certain technology and human trends are transforming the capital market ecosystem.

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Subscribe to our monthly newsletter to get exclusive resources from Numerix.

webinar

Derivative Insider Webinar Series: Cautionary Insights on Software Development

In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h

article

A Few Insights into Crypto Risk

In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market.

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webinar

The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives

In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors.

webinar

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

Find out how new Risk Free Rates (RFRs) have been adopted in derivatives markets around the globe, and learn how Numerix analytics can help firms price new RFR products, construct RFR curves, and build volatility surfaces.

white paper

The State of XVA Usage in Latin America – A 2022 Update

This is an update to a paper we published in August of 2020 on the state of XVA usage in Latin America, which included observations on implementation trends among different countries, types of valuation adjustments used, and the challenges and obstacles to XVA adoption in the region.

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white paper

Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation

This white paper takes an institutional perspective in examining the multiple dynamics of the cryptocurrency sector

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article

Where are you in your SEC Rule 18f-4 implementation?

Attention all ETF and Fund companies. The SEC is adopting a modern regulatory framework for derivatives use which has a compliance deadline of August 19, 2022.

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article

Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology

In this article, the Numerix Risk Team reveals how the Archegos debacle exposed cracks in banks’ risk systems.

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white paper

The XVA Challenges Energy Traders Face in a Complicated and Volatile Market

Learn about some of the challenges energy traders face when seeking to apply XVAs to their derivatives transactions.

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All Publications

Analyst report

Article

Blog post

Journal issue

Newsletter

Quantitative research

White paper

white paper

Understanding the Riskiness of A GLWB Rider For FIAs

Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.

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white paper

‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB

While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.

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blog

Regulatory Guide to Understanding Bank Capital and Margin Requirements

Extensions and revisions of bank capital and margin requirements have given rise to increased interest in capital calculations and the methods employed. Our blog showcases insights on this topic from Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix.

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blog

Numerix Celebrates 20 Years of Innovation in Pricing and Risk

In this blog, we discuss our experience at Numerix as a company embarking on our 20th year in business. We are proud of both the legacy behind us and the exciting future before us.

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journal issue

Numerix Journal Vol. 2, No. 2

In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling

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quantitative research

Risk Magazine Cutting Edge Research 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.

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quantitative research

"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.

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quantitative research

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.

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quantitative research

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.

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Subscribe to our monthly newsletter to get exclusive resources from Numerix.

white paper

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.

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journal issue

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.

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quantitative research

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.

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quantitative research

Backward Induction for Future Values

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.

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white paper

Real-World Equity & Volatility Behavior

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journal issue

Numerix Journal Vol. 1, No. 2

In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities.

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quantitative research

Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.

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quantitative research

Fast-Reversion Limit of the Heston Model

In this research paper, Dr. Serguei Mechkov examines the Heston model.

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white paper

Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models

Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years.

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Resources

Portfolio Management Using Advanced Market & Credit Simulations

Modernizing Risk Management Technology: Has the Game Changed?

Analyzing the Global Usage of XVAs

Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics

Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine

Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition

Numerix: Pushing Boundaries to Create Breakthrough Technology

Build Capital Market Apps Faster with NxCore Cloud

Technology and Human Disruptors Impacting the Capital Markets

Subscribe to our monthly newsletter to get exclusive resources from Numerix.

Derivative Insider Webinar Series: Cautionary Insights on Software Development

A Few Insights into Crypto Risk

The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives

LIBOR Transition Update: RFR Adoption So Far, & How Numerix Analytics Can Help

The State of XVA Usage in Latin America – A 2022 Update

Decrypting Crypto: Explaining the Market and Understanding the Requirements for Successful Institutional Participation

Where are you in your SEC Rule 18f-4 implementation?

Archegos Collapse Raises Red Flags About Risk Management Systems—and Underscores Need for Investment in Technology

The XVA Challenges Energy Traders Face in a Complicated and Volatile Market

Understanding the Riskiness of A GLWB Rider For FIAs

‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB

Regulatory Guide to Understanding Bank Capital and Margin Requirements

Numerix Celebrates 20 Years of Innovation in Pricing and Risk

Numerix Journal Vol. 2, No. 2

Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments

"Hot-start" Initialization of the Heston Model

Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates

Research In Brief | Negative Rates: The Challenge and the Opportunity

Subscribe to our monthly newsletter to get exclusive resources from Numerix.

Bringing Real-time Risk into the Decision-making Process

Numerix Journal Vol. 2, No. 1

Advanced Analytics for the SABR Model

Backward Induction for Future Values

Real-World Equity & Volatility Behavior

Numerix Journal Vol. 1, No. 2

Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework

Fast-Reversion Limit of the Heston Model

Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models

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