White Paper – Aug 1, 2023

White paper | As Action Time Nears, Be Aware of These 3 Big FRTB Issues

As Action Time Nears, Be Aware of These 3 Big FRTB Issues We are finally nearing FRTB’s finish line, with implementation deadlines approaching rapidly in many jurisdictions. Once implemented, FRTB will represent the beginning of a new era for...

White Paper Archive

White paper | Understanding the Riskiness of A GLWB Rider For FIAs
Insurance guarantees are exotic in nature because they have to take into consideration not only actuarial...
White paper | ‘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...
Quantitative Research In Brief | Negative Rates: The Challenge and the Opportunity
In this research paper, Dr. Ion Mihai, Quantitative Analyst at Numerix, explores how negative interest rates have...
White paper | Bringing Real-time Risk into the Decision-making Process
The integration of risk and capital analytics into trading decisions is now more critical than ever. Driven by...
White paper | Real-World Equity & Volatility Behavior: Implications for Economic Scenario Generation
In this research paper, Andrew McClelland PhD and Financial Engineering specialist at Numerix, examines the...
White Paper | Valuation Risk Handbook Feature - Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models
Basel 3, Dodd-Frank, Solvency II, and of course, the Supervisory Guidance on Model Risk Management (OCC Bulletin...
White Paper | Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models

The validation of derivative pricing models can be a slow, labor intensive and expensive exercise. Moreover, it...
White Paper | Model Risk: The Challenges of Legacy Code and Best Practices
Model risk has gained renewed importance since the 2008 financial crisis. A strong contributor to model risk is...
White Paper | A Framework for Real-time Risk Aggregation
Many of the most serious challenges facing banks boil down to this: how to get the information required to...
White Paper | The OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics
This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and...

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