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 FRTB: Are you ready for a new era in market risk management? Check out our just-released blog, exploring key data, technology and modelling considerations firms should be focusing on now as they prepare to meet FRTB requirements. Read Blog podcast Exploring the Impact of Rising Interest Rates on Derivatives Clearing with Ross Lancaster Prepare yourself for a enlightening journey into the world of derivatives clearing, where rising interest rates are opening up new avenues of growth. Listen to podcast newsletter October Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | New Podcast Episodes, Free Trial of FAS Still Available, FRTB On-Demand Webinar Read newsletter webinar FRTB-SA Analytics: Transforming a Regulatory Obligation into an Opportunity Learn how Numerix’s FRTB-SA analytics can help banks uncover additional business benefits beyond just regulatory compliance. Register Now podcast Four Tech Trends you Need to be Tracking with Neil Chinai Hear about the four trends you need to be tracking if you currently work in or parallel to the finance industry. Listen to podcast podcast A Deep Dive into the Role of AI in Finance with Prag Sharma Prepare for a deep dive into the intricate world of artificial intelligence with our esteemed guest Prag Sharma. Listen to podcast newsletter September Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | New Podcast Series, Free Trial of FAS, Register for Live Webinar Read newsletter blog Introducing the Numerix Podcast: Navigating Trends in the Capital Markets We’re pleased to announce the launch of a brand-new podcast series, Trading Tomorrow: Navigating Trends in the Capital Markets, a place where insights, innovation, and expertise in the Capital Markets converge. Read Blog blog Assessing the Rise in Popularity of Zero Day Options Numerix participated in a webinar with Risk.net to explore zero-day options. A panel of experts, including Russell Goyder, Fixed Income Product Development at Numerix, shared their views on how and if firms should be using 0DTE options in their portfolios. Read Blog Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded newsletter August Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Three Big FRTB Issues, Optimizing Cloud for Risk Management, New Numerix Acquisition Read newsletter blog Empowering Women in Finance with a $20,000 Scholarship Award The Numerix Women in Finance Scholarship is focused on helping talented women pursue graduate studies and embark on careers in finance. A US$20,000 award is given to one woman annually to apply towards her advanced finance degree. Read Blog blog Investigating Banks’ Slow but Steady Path to Cloud Adoption While once firms had concerns over the security of the cloud, now it is regarded as highly secure with clear advantages over on-premise systems. But with all the known benefits, banks continue to be slow to cloud adoption. What are the reasons and what does the path forward look like for banks and cloud migration? We discuss in our blog. Read Blog 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 Pagination First page « First Previous page Previous … Page 3 Page 4 Page 5 Page 6 Current page 7 Page 8 Page 9 Page 10 Page 11 … 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 3 Page 4 Page 5 Page 6 Current page 7 Page 8 Page 9 Page 10 Page 11 … 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 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 webinar The Free Boundary SABR: Natural Extension to Negative Rates 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 webinar Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs 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 webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now Subscribe to our monthly newsletter to get exclusive resources from Numerix. Marketo assets failed to be loaded webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. Register Now 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. Register Now 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. Register Now 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. Register Now 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. Register Now 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. Register Now 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. Register Now Pagination First page « First Previous page Previous Page 1 Page 2 Page 3 Page 4 Page 5 Page 6 Current page 7 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 FRTB: Are you ready for a new era in market risk management? Check out our just-released blog, exploring key data, technology and modelling considerations firms should be focusing on now as they prepare to meet FRTB requirements. Read Blog
podcast Exploring the Impact of Rising Interest Rates on Derivatives Clearing with Ross Lancaster Prepare yourself for a enlightening journey into the world of derivatives clearing, where rising interest rates are opening up new avenues of growth. Listen to podcast
newsletter October Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | New Podcast Episodes, Free Trial of FAS Still Available, FRTB On-Demand Webinar Read newsletter
webinar FRTB-SA Analytics: Transforming a Regulatory Obligation into an Opportunity Learn how Numerix’s FRTB-SA analytics can help banks uncover additional business benefits beyond just regulatory compliance. Register Now
podcast Four Tech Trends you Need to be Tracking with Neil Chinai Hear about the four trends you need to be tracking if you currently work in or parallel to the finance industry. Listen to podcast
podcast A Deep Dive into the Role of AI in Finance with Prag Sharma Prepare for a deep dive into the intricate world of artificial intelligence with our esteemed guest Prag Sharma. Listen to podcast
newsletter September Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | New Podcast Series, Free Trial of FAS, Register for Live Webinar Read newsletter
blog Introducing the Numerix Podcast: Navigating Trends in the Capital Markets We’re pleased to announce the launch of a brand-new podcast series, Trading Tomorrow: Navigating Trends in the Capital Markets, a place where insights, innovation, and expertise in the Capital Markets converge. Read Blog
blog Assessing the Rise in Popularity of Zero Day Options Numerix participated in a webinar with Risk.net to explore zero-day options. A panel of experts, including Russell Goyder, Fixed Income Product Development at Numerix, shared their views on how and if firms should be using 0DTE options in their portfolios. Read Blog
newsletter August Newsletter 2023 Monthly thought leadership newsletter by Numerix. In this Issue | Three Big FRTB Issues, Optimizing Cloud for Risk Management, New Numerix Acquisition Read newsletter
blog Empowering Women in Finance with a $20,000 Scholarship Award The Numerix Women in Finance Scholarship is focused on helping talented women pursue graduate studies and embark on careers in finance. A US$20,000 award is given to one woman annually to apply towards her advanced finance degree. Read Blog
blog Investigating Banks’ Slow but Steady Path to Cloud Adoption While once firms had concerns over the security of the cloud, now it is regarded as highly secure with clear advantages over on-premise systems. But with all the known benefits, banks continue to be slow to cloud adoption. What are the reasons and what does the path forward look like for banks and cloud migration? We discuss in our blog. Read Blog
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
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 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
webinar The Free Boundary SABR: Natural Extension to Negative Rates 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
webinar Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs 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
webinar Prudent Valuation: Bridging the Gap Between Pricing & Risk Management Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand. Register Now
webinar Indexed Variable Annuities - Evolving Product Designs in the Annuity Market Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand. Register Now
webinar The Case for Dynamic Replication of Indexed Annuities Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand. Register Now
webinar Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand. Register Now
webinar Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand. Register Now
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. Register Now
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. Register Now
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. Register Now
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. Register Now
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. Register Now
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. Register Now
