Resources

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.

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webinar

Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent

Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand.

quantitative research

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.

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white paper

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.

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webinar

Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve

Numerix featured speaker Mark Hadley discusses ways derivative market practitioners can enhance the bootstrapping process for the short end of OIS curves, and how these approaches will become more important as rates rise.

quantitative research

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’.

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white paper

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.

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white paper

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).

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quantitative research

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.

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webinar

A Quantitative Look at FVA - Theory and Implementation

Many practitioners have found developing and implementing an accurate FVA framework challenging both theoretically and practically. Join Numerix on 2/28 for a quantitative discussion with Dr. Alexandre Antonov, SVP, Quantitative Research, as he reviews current FVA theory and outlines a new universal FVA framework. Register to view On-Demand.

webinar

Breaking Black: The Hybrid Nature of Investment Guarantees

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.

webinar

Economic Scenario Generation: Risk Neutral Modeling in Theory and Practice

Numerix webinar Replay discussing Risk Neutral Economic Scenario Generation. Will cover foundations of Risk Neutral Theory, Hybrid Framework and Joint Calibration approaches and Advanced Indicies Generation. Register to view On-Demand.

quantitative research

Exposure & CVA for Large Portfolios of Vanilla Swaps: The Thin-Out Optimization

In this article we present an efficient optimization for calculating the exposure and CVA for large portfolios of vanilla swaps.

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case study

Double No Touch and Other FX Option Strategies for Low Volatility Markets

This case study covers various foreign exchange (FX) option strategies that take advantage of low volatility market conditions. Specifically, it explores the risks, benefits and mechanics of traditional strategies, such as straddles and strangles, but also focuses on and examines more advanced FX option strategies, such double no touch (DNT) options, European range bet (ERB) options and DNT options in emerging markets.

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webinar

Deciphering FVA: Understanding, Modeling and Using Funding Value Adjustment

Webinar discussing Funding Value Adjustment (FVA) and its role in derivative valuations, trading, and liquidity management.

blog

Advanced FX Hedging Strategies (and what NOT to do): A Case Study

Learn advanced FX hedging strategies and what is most effective.

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quantitative research

Algorithmic Exposure and CVA for Exotic Derivatives

In this article, we develop the algorithmic approach for Counterparty exposure calculation and automate its application to arbitrary complicated instruments.

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