Numerix Blog

Credit Magazine Gives Numerix the Thumbs Up

If there’s one thing to know about Numerix, it’s that we invest a lot in R&D to make sure our clients and partners have access to cutting edge derivatives solutions. Whether we're advancing industry research on models and methods or simply making our analytics easier to use, we're working hard to provide a wide range of tools capable of meeting today's complex challenges.

For the second consecutive year, Credit Magazine has recognized Numerix with the Credit Technology Innovation Award 2009. Last year, it was NxR2, which provided a groundbreaking solution for structured credit and structured finance. This year, we did it again with Numerix Credit Trader. 

We designed Credit Trader to help traders and risk managers who want an intuitive Excel interface based on Numerix analytics to help them manage the workflow associated with correlation trading and single-name credit derivatives and structured-credit products. Using a set of custom worksheets, users can easily capture and price deals, test trading ideas, monitor relevant market data and analyze risk. It even includes a way to quickly define bespoke CDO baskets and use them in the blotter for pre-trade analysis. 

As an extension of the Numerix CrossAsset XL platform, Credit Trader provides one more tool set among the hundreds of templates and solutions that have made Numerix CrossAsset the market-standard analytics solution for today’s derivatives and structured products. 

For more information about Credit Trader or other Numerix solutions, contact us today.

Variable Annuity Industry Panel: Dec. 1

To survive in today’s market, there’s no denying that financial institutions must re-evaluate their valuation and risk management practices — and insurance companies are no exception.

Our own Mark Hadley recently spoke with DerivSource on some of the actuarial challenges facing variable annuity writers and risk managers today. In this in-depth Q&A, he notes that some insurance companies are even beginning to adopt infrastructures and processes normally associated with investment banks. By using consistent analytics across asset classes for pricing trades and generating Greeks, firms are better able to balance assets and liabilities, enabling more-effective enterprise risk management.

To learn more about how leading insurance companies are managing variable annuities, we invite you to join us on Tuesday, December 1st from 5:00pm to 8:00pm at the New York Harvard Club for an evening of cocktails, networking and education.

Through a presentation and panel discussion, we will address current hot issues such as:

• Economic scenario generation in a cross-asset, cross-currency setting using both risk-neutral and real-world measurements
• The use of cross-Greeks like rate/gamma to hedge liabilities with derivatives Projecting hedging strategies into the future
• Calculating economic capital requirements using VACARVM
• Determining arbitrage-free prices and fair premiums for new products
• Addressing FAS 133/157 through the use of market-standard valuations for derivatives
• Efficient architectures for complex computations, including “stochastic-on-stochastic” calculations
• Explaining day-to-day performance of derivatives positions through performance attributions analysis
• Scenario-type solutions for manipulating product features such as roll-ups
• Using derivatives instruments to model policyholder behavior

Confirmed panelists include some of the leading practitioners in the insurance and derivatives industries:

• Doug French, Managing Principal & Global Director, Insurance and Actuarial Advisory Services, Ernst & Young
• Nicholas Mocciolo, Senior Vice President, Hartford Investment Management Co.
• Andrew Rallis, Senior Vice President – ALM, VA Hedging and Marker Risk Analytics, MetLife
• Jim Lloyd, Managing Director – Insurance/Reinsurance, Société Générale
• Mark Hadley, Actuarial Financial Engineer, Numerix

Spacing will be limited, so reserve your place today. We look forward to seeing you there.