Clients trust Numerix Valuation Services to produce accurate and transparent valuations built on the foundation of our experienced practitioners, advanced model library, and best of market data and auditing practices. Comprised of market practitioners with many years of experience ‘working on the desk’ in some of the largest derivatives houses globally, our expert valuation team is skilled in advanced modeling and exotics.

"Our global alliance with Numerix brings a range of valuation capabilities and depth of knowledge to help our clients exercise greater control over valuation of [derivatives] while meeting the standard for transparency demanded by sophisticated investors."

Peter Cherecwich
COO for Corporate & Institutional Services
Northern Trust


“It became clear that Numerix was best positioned not only to provide [Lehman Brothers Holding Inc.] with the valuations we need to resolve derivatives claims, but also to flex the market inputs and transaction terms to ensure that those valuations are reasonable.”

Daniel Ehrmann
Managing Director of Alvarez & Marsal
Co-head of LBHI’s Derivatives Asset Team

Independent, Transparent, Trusted

Our team of financial engineers can provide comprehensive testing and advisory services for model validation and assist with regulatory compliance issues. Armed with an array of standardized model tests and access to the suite of Numerix market-standard models, Numerix financial engineers enable our clients to put their business risk profile into sharper focus—enabling better and more timely decisions.

At the Core of Our Numerix Model Validation Services: Numerix Models & Methods

Numerix financial engineers leverage the power of Numerix CrossAsset, with access to over 100 market standard models and methodologies for all major asset classes— including fixed income, inflation, credit, equity, foreign exchange and commodities. Our cross-asset expertise allows us to provide the industry’s only commercially available hybrid model framework for pricing multi-asset basket trades.

The services provided by our team of financial engineers include the following:

Tests with Multiple Models, Calibration & Interpolation Methods

Our services incorporate the flexibility of the Numerix architecture—which enable users to swap models, calibration methods, calibration instruments, pricing methods and interpolation methods. Once a deal type has been structured for one model, it is then priceable in all models, with all methods. Thus, a model may be validated by comparing it to a large collection of Numerix models, to determine performance against a firm’s proprietary models.

Stress Testing of Models

The Numerix Risk Scenario Framework functionality allows our team to customize as many market scenario shocks as desired, which can then be applied to any market scenario from history. Therefore, we may stress the model with either a standardized (e.g. a ladder report) or randomized set of shocks applied to various scenarios taken from historical data.

Test of the Model by Instrument Decomposition

Our quantitative services clients benefit from the fact that Numerix separates the model from the payoff and the method. That means a Numerix model may be further explored by using the same model to remove features from the instrument—some or all of the call or put dates, a barrier, or a digital feature such as a range accrual. Our team of experts understand that these features are often subject to errors of numerical implementation, and these types of errors may be rapidly tracked down by the decomposition that the Numerix architecture allows.

Standardized Testing

Whether your front office and risk department are utilizing Numerix analytics, or you are utilizing proprietary models, Numerix financial engineers employ the use of standardized tests to confirm model accuracy and performance, confirming both mathematical and financial correctness of the models.

Standardized Tests Utilized by Our Team of Financial Engineers for Mathematical Correctness Include:
  • A direct Comparison test for each model, method, with a single payoff feature (e.g. barrier, early exercise, range accrual), which aids Decomposition Testing of more complex deals
  • Limiting Cases of Identities for Payoff (e.g. Knock-in/Knock-out) and for Model (e.g. Heston v. Black Sholes)
  • Smoothness tests for Greeks
  • Calibration Round Trip Tests
  • Convergence and Convergence Rate Tests
  • Tests for the performance of the model’s hedges can be run, either on Numerix models or on proprietary models.
  • Calibration Stability Tests
  • Calibration Error Tests
  • P&L Attribution Tests
  • Variance of Hedged Portfolio Test
  • Cost of Hedging Test


Our team of financial engineers are able to provide auditable XML files to our clients. In fact, any validation test can be serialized and exported into a self-contained Numerix XML file that captures all model inputs, including terms and conditions, market data, model choice and calibration assumptions, calendars and more.

Once converted to XML, the model can be ported throughout the institution for use within any operations. Additionally models can be “rehydrated” at any future date allowing users to audit and review the model all without the need to reconstruct historical pricing environments. The Numerix XML can also be ported to any regulatory or audit agency if required.

- See more at: http://test-numerix-new.pantheon.io/services/model-validation#sthash.krCwcm1b.dpuf

Experienced Practitioners


Our valuation services team is made up of market practitioners skilled in advanced modeling and exotics with many years of experience ‘working on the desk’ in some of the largest derivatives houses globally.

Advanced Models


We employ the Numerix model library of advanced models, Learn More.

‘Best of Market’ Data


Our team sources market data from the leading data providers in each asset class and performs data validation—ensuring that data sets are complete and sensible. In many cases, Numerix will create multiple sets of market data on a daily basis that can be used to calculate the high, low and closing prices for a given transaction.

Auditing Capabilities


Clients have the option of receiving a self-contained archive file that captures all valuation inputs. Archive includes trade definitions, market data, model assumptions and calibrations, and static data.

Benefits & Features
  • Experienced Team Ready To Work For You From Day One
    With years on the desk, our valuation experts are fluent in the challenges you face and ready to help tackle your project from day one—no need to spend time bringing a green or more general consultant up to speed on complex derivative products, models or methodology.

  • No Black Box – Gain Confidence through Transparency and Accuracy
    You will have complete transparency into each valuation calculation and because our valuation experts leverage our Numerix Model Library, you can have confidence that the advanced models employed have been rigorously tested and validated by our model validation team to ensure accuracy.

  • Consistent, Transparent and Defensible Audit Record
    Self-contained archive file provides an audit record that is consistent, transparent and defensible, which can be used to defend valuations to counterparties, investors, regulators, or even in court. XML format allows users to easily import the file into Excel as a functional Numerix model, enabling them to view the information without the aid of IT or the need to restore a trading system from tape.

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