Estimating Cross-Model Correlations for CCR & XVA
In this webinar, Numerix’s Andrew McClelland, SVP of Quantitative Research, shares detailed insights on Estimating Cross-Model Correlations for CCR & XVA.
Digitalization and New Tech Bring Opportunity and Changing Approaches to Derivatives Markets
In this article Numerix technologist, Linus Yu, joins Heads of Collateral and Liquidity Management, Treasury and Market Risk at some of the world’s leading banks to discuss where they see the path forward for building a more impactful future-state infrastructure for a derivatives business.
Aite-Novarica Report
In new research report Audrey Blater of the Aite-Novarica Group shares key findings from her one-on-one interviews with key stakeholders across the financial services sector to uncover what’s driving cloud migration decisions for trading and risk management functions.
The report analyzes the factors influencing banks when it comes to deciding whether or not to migrate to the cloud and discusses what is needed to bring a pro-cloud shift into the decision-making process. The report also provides views on why on-premise legacy systems may or may not be preferred.
Transforming Treasury and Derivatives management post Covid-19
In this webinar, Numerix and Risk.net, will examine new strategies to enhance your derivatives business and treasury management in the face of Covid-19, regulatory changes and counterparty risk.
Digitalisation of Derivatives Trading: Utilising Technology to Increase Profits
In this webinar, learn how new technologies, such as AI and machine learning, can be leveraged to better manage several aspects of a derivatives business.
Deep Dive: Advances in Counterparty Credit Modelling in Energy Markets
Numerix’s Andrew McClelland, SVP of Quantitative Research, addresses natural gas and electricity curves and the dynamics that complicate modelling,
XVAs and Counterparty Credit Risk for Energy Markets – Addressing the Challenges and Unravelling Complexity
In this webinar, panel of quantitative researchers and risk practitioners from banks, energy firms, and a software vendor discuss the many practical challenges they’ve encountered in the modeling and risk management of XVAs/CCR in the energy markets, and how to overcome them.
Numerix Journal Vol. 7 No. 1
The Vol 7. No. 1 Issue of the Numerix Journal represents some of Numerix's quantitative research and development achievements lately. Many of these achievements have been implemented as functionalities in our products. With the ongoing R&D effort at Numerix, this collection of papers showcases the quality of the research on various topics of interest in the field. Readers get an update on the latest progress in the theoretical research and product enhancements at Numerix.
New Technology Is Redefining the Success of the Front Office
Numerix Chief Product Officer, Satyam Kancharla, discusses how firms are rethinking trading infrastructures
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Risk.net: Next-generation technologies and the future of trading
Panel of industry experts share their insights and observations regarding emerging technologies in trading
Advances in Counterparty Credit Risk Modelling in Energy Markets
In this webinar, Numerix SVP of Quantitative Research, Andrew McClelland Ph.D., looked at what is being done to improve energy models inside the counterparty credit risk setting.
OCBC Bank Scales Business and Mitigates Risk with Numerix Oneview
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.
Real-Time Risk Management in Practice: The Experts’ Views
This whitepaper provides an overview of some of the key topics discussed by a group of market experts during a roundtable webinar hosted by CubeLogic in partnership with Numerix and PRMIA. Various applications of risk management in real time were examined, including, among others.
LIBOR Risk Q2 2021
As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross asset product management at Numerix, presents a series of market themes that warrant closer inspection.
Modelling Energy Curves for XVA
Watch Numerix’s SVP of Quantitative Research Andrew McClelland present updates to his latest research, "Modelling Energy Curves for XVA."
The New Rules of Market Risk Management
This paper highlights several of the key viewpoints expressed by the panel and explores some the current dynamics that are impacting approaches to and the complexities of market risk management.
Next generation technologies and the future of trading
In this webinar, Numerix and Risk.net panelists examine the future of trading technology, how companies will implement these new innovations, and explore the range of new skills that might be needed.
The Art of Effective Market Risk Management During a Period of Transformation
White paper | The Art of Effective Market Risk Management During a Period of Transformation
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.
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.
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.
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.
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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.
Understanding the Riskiness of A GLWB Rider For FIAs
Credit support annexes specify rules for posting collateral. In this paper, Drs. Alexander Antonov and Vladimir Piterbarg propose advanced approaches for valuing the optionality of currency choice in multi-currency CSAs.
‘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.