Resources

New Technology Is Redefining the Success of the Front Office

Numerix Chief Product Officer, Satyam Kancharla, discusses how firms are rethinking trading infrastructures

Risk.net: Next-generation technologies and the future of trading

Panel of industry experts share their insights and observations regarding emerging technologies in trading

Advances in Counterparty Credit Risk Modelling in Energy Markets

In this webinar, Numerix SVP of Quantitative Research, Andrew McClelland Ph.D., looked at what is being done to improve energy models inside the counterparty credit risk setting.

case study

OCBC Bank Scales Business and Mitigates Risk with Numerix Oneview

During the course of its nearly 10-year partnership with Numerix, OCBC Bank has faced a number of challenges it engaged Numerix to address. The bank required a platform that could help it meet demand for products with more innovative features within the structured products market and which integrated a sophisticated risk management process.

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Real-Time Risk Management in Practice: The Experts’ Views

This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others.

analyst report

LIBOR Risk Q2 2021

As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection.

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Modelling Energy Curves for XVA

Watch Numerix’s SVP of Quantitative Research Andrew McClelland present updates to his latest research, "Modelling Energy Curves for XVA."

The New Rules of Market Risk Management

This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management.

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Next generation technologies and the future of trading

In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed.

The Art of Effective Market Risk Management During a Period of Transformation

White paper | The Art of Effective Market Risk Management During a Period of Transformation

SRP Europe Conference 2021: Optimizing Financial Valuations to Improve Investor Experience

During SRP’s 18th annual flagship conference, SRP Europe 2021, thought leaders from across the European market came together to examine, discuss and debate the state of Europe’s structured products industry.

QuantMinds 2020: Modelling Energy Curves for XVA

This on-demand webinar offers insights and commentary across several areas including: Seasonality in volatilities & correlations for energy curves; oil, gas, power, etc. | XVA & the importance of correlations | The Andersen ('10) model, akin to Cheyette ('92) with seasonality in response functions | Estimation via state-space representation and filtering | akin to Dynamic Nelson-Siegel (’06) | Objective measure-vs.-pricing measure implications and handling stochastic volatility.

Examining What's Next for LIBOR: Top Themes Dominating the Transition in 2021

In this new whitepaper, Numerix LIBOR transition expert Liang Wu provides his views and insights on the key themes that deserve examination.

Risk.net | Modifying Market Risk Management – A Year After Covid-19

Join this panel discussion with Numerix and Risk.net to understand how capital markets participants revised their market risk management practices during the height of market volatility and what this means for the future.

Adopting a Cloud-Based Risk Management Strategy

In this webinar, held in partnership with Microsoft, you will learn more about the value running real-time pricing and risk management calculations in the cloud can create for financial services firms

Real-Time Risk Management at the Enterprise Level: Uses and Benefits for Risk Managers

In this webinar hosted by CubeLogic, in partnership with Numerix, IOWArocks and PRMIA, market experts come together to examine the role real-time enterprise risk measurement and reporting has to play in practice today.

Quantitative R&D Innovations Update

In this new research quantitative experts overcome this significant limitation and develop a new type of neural networks that incorporate large-value asymptotics, when known, allowing explicit control over extrapolation.

All Publications

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Quantitative research

White paper

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.

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.

Real-World Equity & Volatility Behavior

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.

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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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.

Fast-Reversion Limit of the Heston Model

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

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.

journal issue

Numerix Journal Vol. 1, No. 1

In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.

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Model Risk: The Challenges of Legacy Code and Best Practices

In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation.

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Options for Collateral Options

Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.

The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics

This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.

Funding Value Adjustment for General Financial Instruments: Theory and Practice

This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.

Mastering Model Risk: Assessment, Regulation and Best Practices

In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.

SABR Spreads Its Wings

Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.

Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model

This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.

Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice

In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).

USLV: Unspanned Stochastic Local Volatility Model

In this article, we propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives.