Numerix Blog

The Power of In-Memory Analytics for Real-time Risk - Then and Now

Allen Whipple, Co-Founder and Managing Director of Quartet FS joins Numerix CMO, Jim Jockle to discuss the evolution of risk technology. Allen draws on the significant enhancements and capital markets use case for real-time data visualization, re-aggregation and reporting in solving an entirely new set of analytical problems – from risk management and credit monitoring, to position keeping and Big Data aggregation challenges.

Allen also expands on Quartet FS ActivePivot’s support for the instant analysis, aggregation and visualization of large volumes of complex and dynamic data for derivatives valuation, Market Risk and Counterparty Credit Risk calculations and the value this can have within a real-time enterprise analytics engine.

Watch the Video: The Power of In-Memory Analytics for Real-time Risk - Then and Now

 

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Video Transcript: The Power of Continuous Aggregation for Real-time Risk

Jim Jockle (Host): Hi welcome to Numerix Video Blog I’m Jim Jockle, and welcome to a new series on the evolution of risk technology. Joining me today is Allen Whipple, founder of Quartet FS, and also founder of a system that many people that are watching are very familiar with, Summit, so welcome Allen and thanks for coming on today. 

Allen Whipple (Guest): Thanks Jim.

Jockle: Why don’t we just start very quickly with the elevator pitch around Quartet FS, people may not be familiar, so why don’t you set the table for this discussion.

Whipple: Absolutely, so Quartet FS is a software company focused on capital market in-memory analytical problems, so we effectively produce an in-memory OLAP engine, which is a multi-dimensional analysis component used to solve a whole series of continuous big data analytical problems, from risk management, to credit monitoring, to positioning keeping, etc.

FVA in Practice – Taking Classical Theory Further | Numerix Video Blog

Dr. Serguei Issakov, SVP & Global Head of Quantitative Research and Dr. Alexander Antonov, SVP Quantitative Research join Jim Jockle, Numerix CMO to discuss recent contributions to FVA (Funding Valuation Adjustment) theory and provide their insights from the recent Global Derivatives conference held in Amsterdam.

Dr. Antonov also discusses his presentation at the conference and new research on the funding valuation adjustment for general instruments, where he reviews the classical theory based on the work of Dr. Vladimir Piterbarg and proposes an efficient approximation to the FVA instead of a direct computation which achieves a must more practical implementation.

Numerix Global Derivatives Presentation: FVA for General Instruments, Alexander Antonov

Watch the video: FVA in Practice – Taking Classical Theory Further

  

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Video Transcript: FVA in Practice – Taking Classical Theory Further

Jim Jockle (Host): Hi welcome to Numerix video blog I’m your host Jim Jockle. With me today Dr. Serguei Issakov, and Dr. Alexander Antonov coming live via Paris, how are you gentlemen?

Alexander Antonov & Serguei Issakov (Guests): Good. Weathers fine!

Jockle: Excellent! So the topic of this week is the Global Derivatives Conference that just concluded in Amsterdam, and really one of the biggest most highly debated topics is around FVA and this debate has been ongoing for quite a while, but not seeing a lot of resolution especially as the role of funding in pricing. So a lot of panels were discussed, maybe perhaps you could just take a moment to share some the arguments that were being made at the conference.

The Tale of the Unclearable Trade - Managing Tail Risk with CVA

A new report authored by E. Paul Rowady Jr., Senior Capital Markets Analyst at TABB Group titled, "The Risk Analytics Library: Time for a Single Source of Truth" points to the market drivers and technical complexities behind achieving a unified view of risk, duly noting the $65 trillion in tail risk associated with unclearable swaps that will extend out another 30 years.

According to Satyam Kancharla, Numerix Chief Strategy Officer these bespoke hedges represent 12 percent of the OTC market and they touch a large group of market participants, yet much of this risk, including Counterparty risk, is poorly understood and often ignored. While quantitative metrics such as Credit Valuation Adjustment (CVA) can help, Kancharla tells TABB's Alex Tabb, only a handful of firms worldwide have implemented the process.

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Video Transcript: The Tale of the Unclearable Trade

Alexander Tabb (Host): TABB Group estimates that there are $65 trillion of tail risk still associated with uncleared swaps out in today’s market. That tail is going to extend for another 30 years. Where does that risk lie and how are folks managing it? I’m joined today by Satyam Kancharla, Chief Strategy Officer for Numerix. Satyam, where does this risk lie and what are people in the industry doing to manage it?

Satyam Kancharla (Guest): So Alex, this is the 12% of the OTC portfolio that’s outstanding. It is not cleared, it is not clearable. And in terms of where it lies, it lies both on the sell side and on the buy side obviously because all of these transactions are derivative transactions. They’re swaps typically, and they are in between, let’s say insurance companies and banks, or pension funds and banks, asset managers in some cases, corporates, and these are really the spoke hedges that have been put in place, in some cases they’re being put in place now. They’re long dated in nature. They’re very hard to clear, so you really have to manage them.

Tabb: Are folks managing it today? What’s the optimal mechanism for managing this much risk extending that far into the future?

Kancharla: What has been shown recently in the last several years is market risk is not the only risk you have. There’s counterparty risk, there’s funding risk, there’s liquidity risk, and these are the risks that are largely ignored at this point.

Yankee Legend Tommy John, Numerix and Counterparty Credit Risk - The Right Team | Risk Executive Series

RISK EXECUTIVE SERIES: PART III

James J. Jockle, Chief Marketing Officer at Numerix, discusses lessons learned from Yankees great Tommy John at the Inaugural Waters Magazine Sell-Side Technology Awards. In baseball, groundbreaking surgery, and risk management, having the right team in place is key. 

On a cool spring evening it was a night for New York winners.  The Yankees beat the Devil Rays, the Knicks beat the Celtics, the Islanders made the playoffs and Numerix was recognized by the judging panel of CIOs, Consultants and the Waters Magazine’ senior staff for the “Best Sell-Side Credit Risk Product” and “Best Overall Sell-Side Product of the Year”.  The connection this evening between financial technology and professional sports was the key note speech by legendary New York Yankee pitcher, Tommy John.

Tommy John’s Major League Baseball career spanned 26 seasons.  The average baseball career is 5.6 years.  The average football career (although hotly debated) is 3.2 years.  So 26 seasons, is an incredible accomplishment.  Moreover, he won 288 games and had over 2,245 strikeouts.   But arguably, Tommy is more famously know for the revolutionary surgery that was named after him to repair a potentially career ending tear to a ligament in his pitching arm.  

During his talk he recounted the event and his discussions with Dr. Frank Jobe, who pioneered the surgery.   His story of course led to the pinnacle decision and famous statement by Tommy  regarding his decision to move forward with the procedure where he proclaimed to Dr. Jobe - ”let’s do it”. 

Counterparty Risk Takes Center Stage - Insights from Global Derivatives Trading and Risk Management Conference 2013

Risk took center stage at the 20th Annual Global Derivatives Trading and Risk Management Conference in Amsterdam according to Numerix Chief Strategy Officer Satyam Kancharla, who joins CMO and host James Jockle to discuss this year’s highlights.

From CVA and DVA to a major focus on Funding Value Adjustment ( FVA), Kancharla discusses how counterparty risk and back-office demands have evolved to drive much of this year’s agenda. He also explores key points from risk technology presentations on the rise of the Analytics Server and narrowly focused return of GPUs.

Numerix Global Derivatives Presentation: FVA for General Instruments, Alexander Antonov

Watch the video: Counterparty Risk Takes Center Stage - Insights from Global Derivatives 2013

 

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Video Transcript: Counterparty Risk Takes Center Stage - Insights from Global Derivatives 2013

Jim Jockle (Host): Hi welcome to Numerix video blog I’m your host Jim Jockle. Paris has its airshow, Detroit has its auto show, but in the world of Quantitative Finance, we have Global Derivatives, with me today fresh back from Amsterdam, Satyam Kancharla, CSO from Numerix. Welcome.  

Satyam Kancharla (Guest): Hi Jim.

Jockle: So as the showcase of quantitative finance, usually thematically it’s the presentation of the best and the brightest new models coming to market. Thematically it’s really been about volatility over the past couple of years. But really, risk has taken center stage ̶ namely around funding and the implications for derivatives. Tell us about some of the sessions that you were going in and how this event has really changed.

Kancharla: Yeah that’s so true. In the past several years what we’ve seen is a focus around modeling volatility, modeling correlation, modeling complex exotics, and so on. But what I have found this time, and as was the trend last year, there’s such a focus on CVA, DVA, Risk, as well as funding capital optimization, and collateral.