‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB
While the final FRTB text has some important changes from the fourth QIS of July 2015, including an extra year for implementation (with a new deadline of January 1st, 2019 for local translation and Dec 31st for latest date for 1st report submission by the financial institutions) and a reduced Residual Risk Add-on—many of the key rules in the framework remain unchanged from prior versions. Derivate market participants are finding the scope and complexity of the framework quite daunting.
The Next Chapter of FRTB: What to Know About FRTB’s New CVA Capital Framework
What You Need to Know About FRTB’s New CVA Capital Framework
Samsung Fire and Marine Insurance Case Study
Samsung Fire & Marine Insurance (SFMI), a multinational insurance company based in central Seoul, South Korea, selected the Numerix Economic Scenario Generator for producing its risk neutral economic scenarios. With its principal products including automobile, long-term and commercial insurance, enterprise risk management, and annuities—SFMI is the largest Property and Casualty Insurer in Korea.
Impact of Negative Rates on Derivatives Valuations & Risk Calculations
Dr. Dan Li presents a case study on the impact of negative rates for derivative practitioners, specifically focusing on the Japanese derivative markets since the Bank of Japan pushed rates below zero.
CVA Greeks: Their Importance, Common Calculation Methodologies, & Testing for Accuracy
On April 13th Laure Darleguy discussed the importance of accurate CVA Greeks and analyzed industry best practices and different methodologies for calculating first order CVA sensitivities (delta and vega) to ensure consistency and convergence.
Regulatory Guide to Understanding Bank Capital and Margin Requirements
Extensions and revisions of bank capital and margin requirements have given rise to increased interest in capital calculations and the methods employed. Our blog showcases insights on this topic from Dr. Serguei Issakov, Global Head of Quantitative Research at Numerix.
XVA Best Practices: Regulatory Drivers, Analytical Challenges & Techniques for Recapturing Profitability
Dr. Victor Masch Vice President of Global Strategy at Numerix, reviews the state of the XVA ecosystem, their impacts on profitability, and offered insights into efficient ways to incorporate XVA into the management processes.
Real World Algorithmic Exposure: An In-Depth Exploration with Case Study Examples
On March 2, 2016 featured speaker Dr. Ping Sun, built on his previous presentation introducing Real World Algorithmic Exposure and took a deep dive into the innovative new resampling approach, outlining the theory behind it along with showcasing examples of resampling in action and a comparison of the Algorithmic Exposure and Brute Force approaches.
Numerix Celebrates 20 Years of Innovation in Pricing and Risk
In this blog, we discuss our experience at Numerix as a company embarking on our 20th year in business. We are proud of both the legacy behind us and the exciting future before us.
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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.
Numerix Journal Vol. 2, No. 2
In light of the continuously increasing demand for more efficient and sophisticated risk solutions, Vol 2 No 2 of the Numerix Journal is a Special Edition dedicated to risk. The issue showcases the most recent research and developments in risk at Numerix, much of which pertains to real-world modeling
Risk Magazine Cutting Edge Research Article | Funding Valuation Adjustment for General Instruments
In this Cutting Edge research article, published in the November 2015 Issue of Risk Magazine, Drs. Alexandre Antonov, Marco Bianchetti and Ion Mihai develop a universal and efficient approach to numerical FVA calculation.
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.
Mazars Case Study
Mazars, an international, integrated and independent organization, specializing in audit, accountancy, tax, legal and advisory services selected Numerix CrossAsset analytics to be used within Mazars Actuariat by the Quantitative and Actuarial teams for derivatives pricing, modeling and insurance actuarial work.
"Hot-start" Initialization of the Heston Model
The most straightforward way of initializing a hidden variable is by specifying its equilibrium distribution, which assumes that this component of the multifactor process has been started well before the observable part. As a practical example, the Heston model is considered.
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.
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.
Risk Magazine Cutting Edge Research Article | The Free Boundary SABR: Natural Extension to Negative Rates
In this Cutting Edge article published in the September 2015 Issue of Risk Magazine, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates.