Adapting Market Risk Management Practices Amidst COVID-19
Learn what questions banking and capital markets risk managers should be asking themselves right now in terms of stress testing, scenario analysis and market risk practices in the wake of COVID.
The State of Capital Markets Post COVID-19: Major Paradigm Shifts
In this webinar, get a better understanding of the trends and challenges borne by market participants in both the front and middle office as a result of disruptions caused by the unprecedented COVID-19 pandemic.
Transición a SOFR y su impacto en el mercado colombiano
Augusto Carvalho, Director Regional de Preventas de Numerix, Andrés Galindo, Director de PiP Colombia, Laura Carolina Cardona, Estructuradora de productos derivados y divisas, y líder del frente de derivados en el proyecto de cambio LIBOR del Grupo Bancolombia quienes brindarán una actualización profunda del mercado global y colombiano respecto al progreso de esta transición.
Aite Impact Report
A new report produced by the Aite Group, commissioned by Numerix, assesses the overall impact of an unprecedented pandemic on the securities industry, with particular focus around front-office dynamics, risk management, and the regulatory front.
How the Complexity of Today’s Business Reality May Demand a Cloud Services Approach
In this white paper, read how valuable harnessing the cloud through Software as a Service (SaaS) and Risk as a Service (RaaS) models can be for helping to manage the increasing complexities of running a derivatives trading business.
Transición a SOFR y su impacto en el mercado peruano
Augusto Carvalho, Director Regional de Preventas de Numerix, Paul Rebolledo, CFA, Gerente de Valuación de PiP Perú, Marco Remy, Gerente de Ingeniería Financiera de Riesgo de Mercado, BCP y Credicorp y Werner Haeberle, Director de Riesgos Estructurales, de Mercado y Fiduciario en BBVA Perú brindarán una actualización profunda del mercado global y peruano respecto al progreso de esta transición.
LIBOR Risk Q3 2020
In this special report, Risk.net offers comprehensive coverage of the key issues and challenges of moving away from LIBOR.
The Tipping Point of Cloud and Risk Management in Capital Markets
Capital markets firms are acknowledging that the cloud is a catalyst for establishing competitive advantage and the financial services sector has been taking steps to prioritize digital transformation. To meet customer requirements and remain competitive, financial services organizations must increase their agility, reduce time to market for new products and services, and address the spiraling total cost of ownership (TCO) of their IT infrastructures. Today, it is evident that all roads lead to the cloud.
LIBOR Transition Readiness: The Current Narrative
Results of a Numerix Global Survey on the LIBOR Transition
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Risk.net | LIBOR Transition in Asia-Pacific: How to Stay Ahead of the Curve
This webinar will examine how financial institutions can be forward looking and robustly advancing towards the adoption of new alternative rates in Asia.
Risk Magazine Cutting Edge Article | A new arbitrage-free parametric volatility surface
In this Cutting Edge research article, published in the September 2018 Issue of Risk Magazine, Drs Alexandre Antonov, Andrew McClelland and Serguei Issakov discuss how algorithmic differentiation can efficiently compute sensitivites of future trade values.
The Current State of XVA Usage in Latin America
In this whitepaper, Augusto Carvalho, Numerix’s Regional Director of Presales, who spends a lot of time in Latin America educating banks and other institutions about XVA solutions, provides his observations on XVA practices in the region.
The End of LIBOR Is Getting Dangerously Close: Engage and Succeed with the Numerix LIBOR MasterClass Series
In this blog, Numerix Executive Vice President and Chief Marketing Officer; James Jockle, shares how you can engage and succeed with content collections by Numerix based on the level of your firm’s LIBOR transition readiness.
Numerix and CubeLogic | Risk Management Post COVID-19: Lessons Learned So Far
This event provided an overview on how Risk Management has changed in the context of the COVID-19 pandemic.
Structured Notes: Transforming Risk into Opportunities
In this article, Risk.net leads a discussion with industry representatives, to capture what the current market environment means for traders, issuers, risk managers and investors operating in structured products.
The LIBOR Transition: A Risk Management Stress Event
Why should the LIBOR transition be viewed as a major risk management stress event.
Preparándonos para un mundo sin la tasa Libor
Augusto Carvalho, Director Regional de Preventas de Numerix e Igor González, Director de Operaciones de PiP, brindan una actualización profunda del mercado y progreso de esta transición.
Transitioning LIBOR in the Context of COVID-19
As the October 2020 date rapidly approaches for LCH and CME to shift from using OIS to SOFR for discounting of US dollar interest rate derivatives, this panel provides a market update and progress on the LIBOR transition focusing on derivatives market participants.
Bringing Real-time Risk into the Decision-making Process
Satyam Kancharla discusses how and why using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making.
Numerix Journal Vol. 2, No. 1
In the Vol. 2 No. 1 Issue of the Numerix Journal, we propose an approach to dealing with negative rates in the SABR model, explore martingale and distribution tests for the LMM, "Hot-Start" Initialization of the Heston model, and the implementation of real-world and negative rates features in Numerix solutions.
Advanced Analytics for the SABR Model
In this paper, authors Alexander Antonov, PhD, and Michael Spector, PhD, present advanced analytical formulas for SABR model option pricing.
Backward Induction for Future Values
Drs. Alexandre Antonov, Serguei Issakov and Serguei Mechkov generalize the American Monte Carlo method to efficiently calculate future values (or exposures) of derivatives using an arbitrage-free model.
Real-World Equity & Volatility Behavior
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.
Numerix Journal Vol. 1, No. 2
In the Vol. 1 No. 2 Issue of the Numerix Journal, we cover XVAs, the martingale test, Numerix LSV model, and structured note annuities.
Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models.
Fast-Reversion Limit of the Heston Model
In this research paper, Dr. Serguei Mechkov examines the Heston model.
Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models
Driven both by regulators and internal pressure to avoid losses due to poor modeling, the validation of derivative pricing has received a burst of renewed interest in recent years.
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Numerix Journal Vol. 1, No. 1
In this inaugural issue of the Numerix Journal we address challenges to multi-curve discounting, the Numerix approach to FVA, benchmark the American Monte Carlo approach, and present new thinking on model validation automation.
Model Risk: The Challenges of Legacy Code and Best Practices
In this research paper, David Eliezer, PhD, Vice President and Head of Model Validation at Numerix, explores the most common types and sources of model risk, and then outlines the best practices that practitioners can utilize in model validation.
Options for Collateral Options
Credit support annexes specify rules for posting collateral. If multiple currencies are allowed, then the party posting collateral has a choice of which currency to post, now and at each future point in time.
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 FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts.
Funding Value Adjustment for General Financial Instruments: Theory and Practice
This research paper by the Numerix Quantitative Development Team details a new methodology for calculating Funding Value Adjustment (FVA) for vanilla and exotic deals at both the trade, and portfolio level.
Mastering Model Risk: Assessment, Regulation and Best Practices
In this paper, Numerix Chief Strategy Officer & SVP, Satyam Kancharla, outlines industry best practices for mastering model risk.
SABR Spreads Its Wings
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’.
Considering Stochastic Mortality in Pricing Variable Annuities: Applications of the Lee Carter Model
This research paper, written by Chao Liang, FSA and Numerix Insurance Product Specialist, examines how the Lee Carter Model can be beneficial when pricing variable annuities.
Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice
In this white paper, Numerix VP and Insurance Product Manager Ghali Boukfaoui, explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG).