LIBOR: Its Astonishing Ride and How to Plan for Its End
Explaination of what's important when preparing for 2021
Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products
Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives.
Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it?
In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question.
Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it?
Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries.
The End of LIBOR: Implications and Preparing for 2021
Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark.
Numerix Journal Vol. 4 No. 2
The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results.
Efficient SIMM-MVA Calculations for Callable Exotics
This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures.
MVA: Rationale and Practical Calculations as Margining Rules Tighten
Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades.
The Rise of xVA and How It Transformed an Entire Industry
In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets.
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Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets
The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry.
Numerix Journal Vol. 4 No. 1
*SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks.
FRTB: The Technology Considerations and What You Need to Know
FRTB will manifestly change the way banks run their trading business; banking infrastructure must rise to new demands. With band-aided, legacy systems becoming costly to adapt and falling short, this paper helps banks to better understand the technology architecture needed to meet the new flexibility, agility, scalability and computational requirements.
The Fundamental Review of the Trading Book: Key Challenges and Implementation Headaches
Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare.
PV and XVA Greeks for Callable Exotics by Algorithmic Differentiation
We generalize the algorithmic differentiation method proposed by Antonov (2016) from price Greeks to XVA Greeks.
Numerix Journal Vol. 3 No. 2
*SPECIAL ISSUE- CURVES & CURVE CONSTRUCTION * In the Vol 3 No 2 special edition of the Numerix Journal, we present three papers on curve-related topics, including multi-curve methods. We conclude with an article introducing Numerix multi-curve functionality, both current and planned.
FRTB's Sensitivity Based Approach: Methodology, Procedure and Business Impact
Franck Rossi, Director of Product Management at Numerix, discusses the challenges presented by FRTB - from increasing capital requirements to P&L Attribution to IT review. In this paper, he explores what banks can do to adequately prepare.
Algorithmic Differentiation for Callable Exotics
Dr. Alexandre Antonov studies the algorithmic calculation of present values greeks for callable exotic instruments.
Numerix Journal Vol. 3 No. 1
Vol 3 No 1 Issue of the Numerix Journal explores the economic rationale and numerical methods used to address the KVA problem, techniques used by Numerix to calibrate a number of FX and interest rate models under the real-world measure, the Hedge Performance Test as a method of evaluating regulatory “fitness for purpose” of a model, and offers an introduction to Numerix Model Validation Services and Model Validation Studio.