Numerix Blog

Numerix Powered CDO Pricing and Risk

Anyone who manages or deals with CDOs today knows the importance of accurate pricing and risk analysis. Over and over, we’ve seen institutions looking for a better way to model these complex instruments in order to gain a better understanding of their portfolio’s value. To help them accomplish this goal, a new “Numerix Powered” solution is available that specifically addresses the challenges of the synthetic CDO and CLO market. 

This week, we announced a partnership with CDO Software that will enable financial professionals to value virtually any credit product. Using the Numerix CrossAsset SDK, the company has integrated Numerix’s extensive library of market-validated models and optimized numerical methods into their CDO Tools^TM suite. With this solution, portfolio managers, investors, risk managers and trustees in the credit markets now have the flexibility to calculate risk by specifying the copula type, correlation model and base correlations from reference deals.

Said Sunay Shah, CEO and co-founder of CDO Software: “The ability to seamlessly run Numerix analytics, stress scenarios and automatically generate risk reports within our CDO Tools^TM platform will enable users to analyze information from several perspectives and give firms a transparent understanding of where their real risks and values lie.”

Read the press release

Learn more about CDO Software

Pricing and Data Consistency with Numerix and Sybase

Numerix's pricing and risk analytics and Sybase's data management capabilities provide financial institutions with best-of-breed solutions for OTC derivatives. In this Sybase video, our VP of Business Development discusses how our two companies enable pricing and data consistency for front-, middle- and back-office operations.

Numerix Wins Key Asia Award for Structured Products

Over the past 10 years, Numerix has quickly become the recognized leader in the fast-growing field of derivatives pricing technology. Now — for the second consecutive year — Structured Products Magazine has named Numerix the 2009 Technology Provider of the Year in Asia. 

According to the magazine’s editors, Numerix set itself apart from its competitors through its ability to adapt to the recent financial crisis, providing a range of innovative solutions covering counterparty risk, compliance, value-at-risk and risk management.

The magazine noted several key Numerix innovations that contributed to the award:

• The development of Numerix Counterparty Risk for calculating potential future exposure and credit valuation adjustment for derivative portfolios using a high-performance Monte Carlo simulation
• Creation of a series of new Excel modules to handle commodity-linked structures and currency plays in Japan and South Korea
• Integration of the Heston stochastic volatility model into its products to allow clients to more accurately price and risk-manage long-dated options with payouts that depend on currency rates, such as power reverse dual currency notes and swaps
• The ability to price hybrid products and multi-layered transactions

Read the full article here.

Fall Dates Announced for Numerix University Financial Engineering Training

Our popular two-day training course for financial engineers is back in New York, with two new dates:

• Oct. 13-14: Interest-Rate, Cross-Currency and Inflation derivatives
• Oct. 20-21: Equity, FX and Hybrid derivatives

Participants will learn effective structuring, pricing and risk management techniques for complex derivatives through hands-on use of Numerix analytics. Attendees will also have the opportunity to become a Numerix Certified Financial Engineer.

This program is in high demand and space is limited, so register today.

Click here for more information.

Video: Carr & Antonov on Quantitative Evolution

While attending the recent Quant Congress in New York, Drs. Peter Carr (Bloomberg) and Alexander Antonov (Numerix) took time to share insights on how quantitative methods are adapting to today's market environment.

In many cases, traditional techniques for pricing OTC derivatives simply aren't appropriate anymore and can lead to complete model failure. In this video, Carr and Antonov discuss changes in modeling, methods and calibration that are necessary to account for issues such high volatility, counterparty credit risk and liquidity risk.

Watch the video here:

Share your thoughts about this and other topics at the Numerix Forum — Quant Connection.