Resources

TDC’s pension team recognized the need to add a sophisticated solution for modeling and performing risk calculations on its interest rate derivatives portfolio for risk management, accounting and trading. 

Prescient Fund Services (Prescient) offers specialist outsourced administration and platform services to asset managers, multi-managers and other institutional investment providers. When Prescient began implementing a new third-party investment accounting system, Eagle Investment Systems (Eagle), the firm identified a need for an instrument valuation and trade solution that could price fixed income and derivatives instruments.

TEB is a partner of one of the world’s largest financial groups, BNP Paribas, and is active in commercial, private and retail banking. TEB set forth on an asset-liability management (ALM) initiative. As part of this project, the bank required the ability to calculate options prices and Greeks, and cash flows on inflation index bonds.

When developing the application, the firm identified the need to add an analytics library to assist with bond and cash flow calculations. They required a solution that would integrate with their existing application and provide developers with thorough documentation and intuitive tools for speeding the process of adding analytics.

To grow its equity derivative business in Asia, CITIC planned to begin trading sophisticated derivative products. However, in order to expand, CITIC needed an analytics platform which could support the complexity, volume and performance requirements of the front office with robust pricing models, scalable architecture and critical risk management analytics.

Key to the fund’s alpha generation strategy is the ability to run high frequency backtests of their trading and investment ideas, so they can try them out under various scenarios before putting “real money” to work. The backtest environment needed to be easy to use and connect into Python (their preferred programming language).

Discover how one client successfully automated their valuation and risk workflows through migrating from Visual Basic for Applications (VBA) to Python using FINCAD Python.

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.

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.

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.

Designed specifically for TMUs, Numerix Treasurer helps Cathay United Bank differentiate its Customer Service and enhance overall operational efficiency while providing comprehensive, accurate and timely regulatory reporting.

Swedbank selected Numerix CrossAsset for pricing complex structures and model validation. The Numerix CrossAsset analytics platform provides a framework for structuring, pricing and managing complex derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using real-time data.

pbb Deutsche Pfandbriefbank selected Numerix for its firm-wide CVA calculations to assist with regulatory compliance. Chosen for its accurate, near real-time credit risk valuations, Numerix XVA/CVA leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE).

OTP Bank leverages Numerix CrossAsset for model validation, pricing complex derivatives and drilling down to comprehensive pre- and post-trade risk analysis, including Greeks, scenarios and stress testing.

Kerius Finance integrated Numerix CrossAsset into its proprietary platform for risk analysis, customized reporting and hedge advisory services – including proposals and structuring of hedging, financing and investment strategies.

Numerix provided HDFC Bank with the only third-party risk management solution flexible and scalable enough to meet its requirements, combined with a unique level of support provided by its dedicated Numerix Mumbai office.

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.