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 Availability of New Technologies and a Renewed Focus on Digital
In Part 2 of this white paper series that examines the transformation of the capital markets and the emerging dynamics impacting front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services Satyam Kancharla shares his views on the accelerating pace of technology change and innovation in the capital markets.
The Impact of LIBOR's Phaseout on Technology: Maneuvering Through the Curve Highway
In this Q&A, we discuss the technology perspective tied to the switch to the LIBOR alternative reference rates
React, Adapt and Enact: The Catalysts to Capital Markets Transformation
In Part I of this white paper series examining the dynamics and future of front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services, Satyam Kancharla delivers an expert view on these drivers of change and their implications for the current and future state of the capital markets.
Moving Beyond LIBOR with Numerix’s Advanced Multi-Curve Framework
Examined curve stripping challenges resulting from the decomission of LIBOR and how Numerix’s cutting-edge multi-curve framework can help market participants address them. Presenter Ping Sun, PhD, SVP of Financial Engineering, Numerix
SOFR Status Check - Understanding the New U.S. LIBOR Alternative Rate
Webinar 12/12 | In this webinar Dr. Sun offered a brief update on alternative reference rates and a history of the transition to SOFR.
Numerix Journal Vol. 5 No. 2
The Vol. 5 No. 2 Issue of the Numerix Journal spotlights theoretical aspects of current and upcoming Numerix features. It begins with a discussion of MVA and Initial Margin requirements, and next looks at the Numerix implementation of the FX Joint Heston model. The issue also examines probability distributions of barrier hitting times, and includes a white paper on European swaption pricing methodology for the Hull-White two-factor model. Finally, the issue highlights Numerix’s implementation of an arbitrage-free volatility surface using a linear programming formulation.
MVA: How to Forecast Initial Margin for Client Trades and Dynamic Hedges
Numerix Director of Quantitative Research, Andrew McClelland , Ph.D., identified how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.
The Current State of XVA Adoption
This XVA forum features a panel of industry leaders who assess the major factors surrounding XVA adoption today
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Preparing for a World Without LIBOR: Where Are We Now?
With a different pace being taken globally, Mr. Wu provided the latest updates on the new alternative benchmarks, the transition plan for each and the implications for market participants.
Risk.net and Numerix: Exploring MVA & Initial Margin
On 11/7 featured speakers Philip Harding, Contributing Editor for Risk.net and Dr. Andrew McClelland, Director of Quantitative Research at Numerix, explored the rise of MVA and the impacts of expanding IM requirements. In this webinar they identify how IM requirements arise from client trades and the hedge trades they necessitate, with the aim of accurately determining the total MVA impact of the trade to the bank.
The 5 Top-of-Mind Issues Dominating the LIBOR Transition
Learn what we believe to be the 5 top-of-mind issues facing market participants today.
Chartis Spotlight Report: Numerix | Front Office Risk Management Technology 2018
Numerix is proud to be recognized as a leading provider of front office risk management technology (FORM) by Chartis Research, a leading research firm focused on the global market for risk technology.
Risk Magazine Cutting Edge Research Article | Efficient Simm-MVA calculations for callable exotics
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 sensitivities of future trade values.
Steering the Initial Margin Process to Determine Full MVA Cost
How IM requirements arise from client trades and the hedge trades they necessitate
Charting a Course for a Successful XVA Program
This white paper outlines market perspectives and best practices for navigating through an XVA implementation project.
Risk.net XVA Special Report 2018
This Risk.net 2018 XVA Special Report addresses a number of the hot button issues that continue to challenge the OTC derivatives marketplace today, such as the complications of XVA adoption, the impact of regulatory drivers, the complexity of pricing and risk calculations, the radical changes presented by new technologies, and the elusive capturing of profitability.
XVAs Defined: The Profitability Puzzle
Numerix experts break down the growing list of XVA pricing adjustments impacting derivatives, explore how they interact and their relationship to the overall profitability of a derivatives business.