Numerix Blog

Webinar, July 1: Advanced Modeling and Hedging of Variable Annuities

If you deal in any way with the design and management of VAs, be sure to join us on July 1st for a one-hour discussion on advanced valuation methods, with sessions for both EMEA and US regions.

Through our work with many of the world’s largest Life companies, we continue to see an emergence of sophisticated modeling requirements for variable annuities that have even surpassed the complexity of some investment bank portfolios. In this webinar, we will offer insights into some of the advanced topics in structuring, valuing and hedging various VA guaranteed structures (GMxB), including:

• Hybrid valuation models and the challenges of jointly calibrating models that span multiple asset classes
• Model risk for GMxB designs, with demonstrations of how different model dynamics can impact valuations, fair rider fees and Greeks, as well as the effect of stochastic credit spreads
• Rapid and flexible product design, including the use of payoff scripts to model the latest product features emerging in the VA marketplace (target volatility funds, indexed GMWBs for Life).
• Implementing optimal lapse in GMxB valuations and risk analysis using Numerix’s “Generic Tree”

Speakers will include Numerix financial engineer Mark Hadley, who specializes in VAs, and Saul Stepner, who heads our insurance solutions segment.

Details & Registration

July 1, 2010
EMEA: 12:30 (UK), 13:30 (CET) - REGISTER
US: 9:30am (ET), 8:30am (CT) - REGISTER

If you have further questions or would like more information about Numerix solutions for insurance companies, please contact sales@numerix.com.

Webinar Announcement: CCDS for Vanillas, Exotics & Portfolios - June 30

Please join us on June 30 for a one-hour webinar on CCDS for Vanillas, Exotics & Portfolios: Advanced Methods for Hedging Counterparty Risk.

When: Wednesday, June 30, 2010 – 9:30 a.m. EST

Description: The standardized contingent credit default swap (CCDS) gives traders a simple way to view credit valuation adjustment (CVA) for individual vanilla instruments. However, in order to effectively hedge counterparty risks for exotics or portfolios (or better yet—cross-asset portfolios containing exotics), you’ll need a way to structure customized CCDS, since these hedges are not addable.

In this webinar, we will discuss the standard CCDS contract and demonstrate how to use intuitive deal-scripting to rapidly structure custom CCDS, with examples for:

• Vanilla IR swap
• Cross-currency swap
• Commodity swap
• Exotics
• Portfolios

We will also discuss the Numerix hybrid model framework as it relates to deterministic vs. stochastic credit (wrong-way risk/exposure), Potential Future Exposure (PFE), and selecting the model and calibration parameters.

Speaker: Dan Li, Vice President – Financial Engineering, Numerix 

Registration: To receive dial-in instructions, click here to register.

Historical Pricing Transparency for Derivatives with Numerix XML

An interesting subject reported on by WatersTechnology’s Carla Mangado at the Xtrakter Conference:

http://www.waterstechnology.com/inside-reference-data/news/1651664/pricing-methodology-explanation-raises-concerns-despite-increased-focus

On the panel, CEO Brian Sentance of Xenomorph (a Numerix partner), discussed the growing demand from clients and regulators for firms to be able to explain and justify prices in detail—for both current and past trades. With a closed system, this can involve a pretty large IT effort to reconstruct the pricing environment and model assumptions. But with Numerix, you won’t need to bother IT at all. 

Deals priced with Numerix analytics can be easily serialized and archived into self-contained “Numerix XML” files. The XML captures all inputs in the valuation process: market data, model calibration and assumptions, calendars, T&Cs and everything else that went into the price. So if you ever need to evaluate a past trade, whether tomorrow or 50 years from now, simply “rehydrate” the deal from the XML and you have a 100% transparent, fully-auditable representation of the trade exactly as it was when it was originally priced. Numerix analytics are also used by many audit firms, so when it’s time for your audit, you can simply give them the XML files. Now that’s easy.

Numerix Website Now Available in 日本語

Here at Numerix, we’re working hard to meet the increasingly sophisticated and specialized demands of Japanese companies. Despite awards and recognition of our market leadership, we're not taking anything for granted — we're continuing to expand our presence in the region at an extremely rapid pace, helping financial institutions of all sizes value and risk manage their derivatives holdings.

As a symbol of our strategic commitment to the region, we’ve launched a Japanese-language version of our website. Check it out at www.numerix.co.jp and let us know what you think! 

If you’re in Japan and would like a demo of Numerix valuation and risk management solutions, contact our Japan sales team today.

 

Watch Numerix Bloomberg Edition and NXDL in Action

Our strategic partnership with Bloomberg provides some pretty incredible functionality to our clients through NXDL, combining the structuring flexibility and valuation capabilities of Numerix Bloomberg Edition with the powerful workflow of the BLOOMBERG PROFESSIONAL® service. You can now see this process in action through our new video demos.

You’ll see how to:

• quickly set up, price and analyze a deal in Excel,
• upload it to NXDL,
• calculate the deal's price and risk in real time,
• message the deal to others,
• change contributors and perform other functions (SWDF, OVDV, FPRP, FLDS, PRTU and more),
• download it again for further analysis (including first- and second-order Greeks),
• and send it to order management systems. 

Because Numerix analytics are pre-integrated within Bloomberg, the process works seamlessly and allows for consistent pricing and risk from start to finish. When you realize the scope of trade types that can now be handled through Bloomberg, you’ll understand the incredible potential that NXDL can offer you.

 

In our video room, you can also learn about the new Numerix Trader Applications for Excel, which streamline the process for managing a book of trades, analyzing risk and monitoring market data.

To learn more, check out the videos, then contact Numerix sales to get a more detailed demonstration or a free trial to Numerix Bloomberg Edition.