OCTOBER 2018 NEWSLETTER

Market Developments | The 5 Top-of-Mind Issues Dominating the LIBOR Transition

With around $350 trillion worth of financial assets tied
to it, LIBOR has provided a consistent way to
determine the cost of everything from student loans
and mortgages to complex derivatives. So, there is
little reason to think the transition to alternative
reference rates will be a straightforward process.
Taking this into consideration, learn what we believe
to be the 5 top-of-mind issues facing market participants today.
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Derivatives Pricing | New MVA Research to Be Featured at NEXT 2018!

In this short video, Andy McClelland provides a sneak peek of his new MVA research that will presented at NEXT 2018. He will identify how initial margin requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.
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Quantitative Research │ Faster Technique for SIMM-MVA Unveiled

Calculating MVA for a single exotic product is slow, requiring hours of work. The Numerix quantitative team looks to leverage algorithmic differentiation to
accelerate that by a factor of several hundred times.
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