Numerix Journal Vol. 8 No. 1
The Vol 8. No. 1 Issue of the Numerix Journal presents some of Numerix's recent quantitative research and development achievements. Many of these achievements have been implemented as new functionality 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.
Machine Learning for Market Data Anomaly Detection & Gap Filling
Presenters share how Machine Learning can be utilized to improve the quality of historical data for market risk calculations.
The LIBOR Transition Story Is Not Yet Over: Our Experts Reflect on 5 of the Remaining Core Issues and Challenges
Two Numerix experts share what they believe are some of the most significant themes and concerns that exist as firms forge ahead with their transition plans.
Turbo-charging XVA Greek Calculations
Learn about Numerix’s latest innovation in its XVA engine to support high-speed XVA Greek calculations.
Coalition Greenwich Report
Modernizing Risk Management Technology: Has the Game Changed?, a new report produced by Coalition Greenwich, focuses on how the new macroeconomic regime has impacted and changed the factors that feed into market risk.
NxCore Cloud in Action: Examples of Capital Market Apps & How They Were Built
See examples of capital markets apps built with NxCore Cloud and understand the thinking behind them, to inspire you to build your own.
Portfolio Management Using Advanced Market & Credit Simulations
Learn how scenario generation and asset projection tools can be used to drive strategic asset allocation decisions.
Modernizing Risk Management Technology: Has the Game Changed?
How are sell-side firms around the world dealing with current macroeconomic and geopolitical risks?
Analyzing the Global Usage of XVAs
This white paper uncovers how XVAs are used across different regions and countries and is based on the results of an internal Numerix survey we conducted with our own XVA experts based in the U.S./Canada, Latin America, EMEA and APAC.
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Practical Implementation of a Quantitative Platform for Risk & Valuation Analytics
In this series, we interview Philippe Hatstadt, Chief Risk Officer (CRO) from Exos Financial, about what it takes to successfully build and utilize a risk system, as well as common pitfalls to avoid.
Inside Numerix’s R&D: How & Why We Built a Cloud-Native Compute Engine
Discover how Numerix shifted Oneview, its flagship software, to a cloud-native architecture and the benefits this provides to users.
Lag in the SOFR-Linked Non-Linear Derivatives Market: Three Barriers to Transition
This article is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products.
Numerix: Pushing Boundaries to Create Breakthrough Technology
Learn why Numerix is the leading provider of capital markets technology
Build Capital Market Apps Faster with NxCore Cloud
Find out how NxCore - the next-generation development platform creates value for development teams – and their end-users.
Technology and Human Disruptors Impacting the Capital Markets
This paper reveals how certain technology and human trends are transforming the capital market ecosystem.
Derivative Insider Webinar Series: Cautionary Insights on Software Development
In this webinar we discuss some troubling trends observed in software development, and how firms can address them before they cause serious problems. One topic in particular – development of proprietary systems using open-source code – h
A Few Insights into Crypto Risk
In this article, Numerix’s Satyam Kancharla, makes a number of key points about risks in the crypto market.
The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives
In this Risk.net webinar a panel of industry experts discuss the key issues and challenges market participants face regarding the volatility, valuation, pricing, liquidity and hedging of non-linear derivatives such as options, caps and floors.
The Market Impact of SOFR Discounting: What We Know So Far
Numerix Senior Vice President, Financial Engineering; Ping Sun, shares The Market Impact of SOFR Discounting: What We Know So Far
The Capital Markets 2020: In the Eye of Two Storms
In this white paper, Numerix Chief Strategy Officer and EVP of Client Services, Satyam Kancharla, provides his view on the drivers of change and their implications for the current and future state of the capital markets.
Trading, Technology and the LIBOR Transition
Discover the driving forces behind the LIBOR transition in this new ebook prepared by Greenwich Associates.
Analyzing the Market Impact of SOFR Discounting
In this white paper, Ping Sun, Senior Vice President, Financial Engineering, explains the differences between OIS curves and SOFR curves, and the impact of SOFR discounting on future cashflow.
Numerix Journal Vol. 6 No. 1
The Vol 6. No. 1 Issue of the Numerix Journal highlights Numerix's achievements in two areas: the ongoing quantitative research and development which extends the functionality of our products, and the innovative Python-based approach to CrossAsset templates. The issue presents papers on the following topics: multi-curve modeling for tenor basis spreads, a new arbitrage-free parametric volatility surface, and STIRs and OIS futures in the Hull-White model. This journal concludes with an article on next generation python-based templates, and introduces the concept of a CrossAsset worker process.
STIRs and OIS Futures in the Hull-White Model
This paper derives exact formulas and their simple approximations for STIRs and OIS futures convexity adjustment under the one-factor Hull-White model which can be efficiently used in curve stripping.
Talking XVA: Pace of Adoption, New Technology & Cloud
Numerix’s Irina Slobodyanyuk, Lead Product Manager for XVA and Financial Engineer for Risk, shares her expert insights on these key topics and more
A "Playbook" for Automating the Front Office
This paper serves as a brief “playbook” on how to get started on automating the front office. Author, Jim Jockle, CMO of Numerix discusses several proven strategies.
Increased Adoption and Innovation Are Driving the Structured Products Market
In this white paper, we discuss how the structured notes business is becoming more digitized and why a broader range of market participants are now issuing these products.
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Risk Magazine Cutting Edge Article | MVA Future IM for Client Trades and Dynamic Hedges
Alexandre Antonov, Serguei Issakov and Andy McClelland propose that IM for both sides should be forecast and reflected in MVA.
The Transformative Impacts of the XVA State of Play
In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
Risk as a Service: For Many, a Better Way to Derive Value from New Technology
Over the last several years, a vortex of regulatory, operational, technological, and growth challenges have caused significant shifts in banks’ operating environments and business models. This has created an environment ripe for the application of managed services.
The Value of Managed Services for Trading and Risk Management
In this white paper, we discuss the benefits of a managed services program, what derivatives businesses look for in managed services vendors, and the changing technological landscape.
Gain or Pain - Automating the OTC and Structured Products Markets
In this white paper, we discuss the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
LIBOR Will Not Transition Quietly: What You Need to Know Now
In this Q&A, we discuss the transition effort from the IBORs to the RFRs, characteristics of RFRs and other challenges assocaited with the transition
The Current Landscape of Electronic Trading: A Discussion Among Experts
In this e-trading forum, Numerix features a panel of industry leaders who discuss the key trends shaping the evolution of electronic trading
Supporting ISDA SIMM™: Key Considerations You Need to Know
Is your institution going to be part of the final two phase-ins of initial margin (IM) rules for non-cleared derivatives?
XVA: Valuations’ Generation X
Commissioned by Numerix and produced by Aite Group, explores how banks have evolved over the pastfew years to incorporate the growing family of trade valuation adjustments for pricing, accounting and regulatory reporting requirements.
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
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.
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.
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.
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.
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.
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Nested Stochastic Simulations: Bridging Risk & Pricing Models
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
The Free Boundary SABR: Natural Extension to Negative Rates
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs
Numerix expert Mark Hadley, FSA,CFA, explores cross-asset risk exposures of emerging GLWB product designs, cross-asset risk-neutral ESG modeling approaches and the importance of “joint calibration” for keeping ESGs market consistent. Register to view On-Demand.
Prudent Valuation: Bridging the Gap Between Pricing & Risk Management
Dr. Marco Bianchetti and Ilja Faerman discuss the new Prudent Valuation regulations, interpret the numerous AVAs and examine their calculations, and discuss best practices in implementing a Prudent Valuation framework. Register to view On-Demand.
Indexed Variable Annuities - Evolving Product Designs in the Annuity Market
Insurers are merging the best features of FIA and VA products to create a new range of hybrid designs. Alex Marion reviews the new Indexed Variable Annuity, IVA, product designs and discusses best practices for the risk management, hedging and reserving of these products. Register to view On-Demand.
The Case for Dynamic Replication of Indexed Annuities
Traditionally market risk exposure from Indexed Annuities is managed via static hedging programs. Mark Hadley explores strategies for dynamic hedging, an approach which can offer a more cost effective option in the face of low rates and the competitive landscape. Register to view On-Demand.
Surprise! "Vanilla" Derivatives Aren't So Easy to Value Any More
Numerix expert Dan Li discusses how vanilla derivative valuations have become very complex, and how to deal with this new complexity. Register to view On-Demand.
Managing Collateral & Utilizing CSA Discounting for Pricing Derivatives
Anna Barbashova discusses best practices in collateral management and delves into the theoretical and practical aspects of CSA discounting. Register to view On-Demand.
Advanced OIS Discounting - Building Proxy OIS Curves When OIS Markets are Illiquid or Nonexistent
Dr. Ion Mihai discusses how to build proxy OIS curves from available market information in currencies where the OIS market is not well developed. Register to view On-Demand.