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.
A Competitive Edge in OTC E-Trading
Learn how banks overcome common technology challenges to deliver next-generation market making infrastructure and how solutions like Oneview Graph Framework can help banks develop faster and deliver smarter.
Numerix Journal Vol. 5 No. 1
The Vol. 5 No. 1 issue focuses on Numerix’s offerings of models, beginning with papers discussing Discrete Local Volatility (DLV) and Quasi-Gaussian Local Volatility (QGLV/Cheyette) models. The issue introduces two higher-level articles on models as well, one providing an overview of the family of models at Numerix and another focusing on Numerix’s universal hybrid framework. We’ve also included a paper on XVA Greeks, discussing the use of pathwise derivatives of the underlying cash flows for calculation and the ability to use algorithmic differentiation to compute pathwise derivatives efficiently. Finally, the issue looks at the power of Numerix analytics in Oneview Asset Management (OVAM), a new product launched last year.
LIBOR Alternative Rates: The Future of OTC Derivatives Pricing and Curve Construction
How will LIBOR alternative rates impact derivatives valuations and curve construction going forward?
Roundtable Discussion: The 'State of the State' of XVA Front-Office Risk Management
Webinar 6/13 | Numerix leadership, together with XVA consulting expert James Sehgal of Invicta, debated their perspectives on the hot button issues driving XVA adoption today.
Putting Quantitative Innovation into Focus for XVAs
Managing xVAs is complex, and that complexity is growing as banks extend xVA to reflect new costs, such as those associated with posting initial margin, or to more-accurately reflect the costs of capital utilization.
MiFID II and Real-Time Technology Fortify Electronic Trading in OTC Markets
MiFID and technologies are leading to a rise in electronic trading, this paper explores the impacts for market makers.
LIBOR: Its Astonishing Ride and How to Plan for Its End
Explaination of what's important when preparing for 2021
Risk Magazine Cutting Edge Research Article | Pathwise XVA Greeks for Early-Exercise Products
Using a new Numerix technique, Greeks can be computed almost as quickly as the time it takes to price the derivatives.
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Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it?
In this blog, James Jockle, Chief Marketing Officer, shares the insights of a data science visionary, who, through his research and thought-provoking analysis of AI, arrives at an answer to the critical trust question.
Data Science Visionary Convinces on Transformative Power of Artificial Intelligence—But How Much Can We Trust it?
Artificial intelligence technologies have undergone a rapid evolution in recent years and have sparked significant interest among firms in multiple industries.
The End of LIBOR: Implications and Preparing for 2021
Liang Wu of Numerix explored how LIBOR met its timely end, the decision’s impacts and how market participants should prepare for the 2021 decommission of the prominent benchmark.
Numerix Journal Vol. 4 No. 2
The Vol. 4 No. 2 issue presents a collection of the latest Numerix research across several areas. It begins with our latest work on SABR and later features a second article that puts Numerix contributions to SABR into context. The issue also introduces work on an efficient SIMM-MVA approach for callable exotics, as well as an extension of Carr-Pelts work on volatility surface. Lastly, the issue highlights MasterMind, a powerful module within our Oneview Asset Management solution that offers users real-time portfolio analytics and the ability to customize calculation results.
Efficient SIMM-MVA Calculations for Callable Exotics
This paper introduces a method which avoids nested calls to the pricing function, similar to the use of least-squares Monte Carlo (LSMC) for producing future exposures.
MVA: Rationale and Practical Calculations as Margining Rules Tighten
Numerix Director of Quantitative Research, Andrew McClelland, Ph.D., explained the pricing and profitability impacts of this shift for banks, explored some of the complexities posed by initial margin requirements and the margining processes for cleared and non-cleared trades.
The Rise of xVA and How It Transformed an Entire Industry
In this white paper, Satyam Kancharla, Chief Strategy Officer at Numerix, brings to light how xVAs have become the posterchild for risk-informed decision making and the key to unlocking trade profitability across capital markets.
Finding Flow: The Case for Electronification in OTC Markets, Its Evolution and Its Future in Illiquid Markets
The financial services industry has been in a state of rapid flux ever since the first of a series of critical reforms were implemented, namely Dodd-Frank, in 2010, as well as because of the onset of disruptive technologies and new set of competitors emerging from the fintech industry.
Numerix Journal Vol. 4 No. 1
*SPECIAL ISSUE- FRTB * The Vol. 4 No. 1 issue focuses on FRTB (the Fundamental Review of the Trading Book). In this issue, we include four Fundamental Review of the Trading Book papers, each exploring a different aspect of FRTB. The papers selected break down the underlying regulatory requirements, explain the implementation challenges, analyze the differences between IMA and SA, and look at the credit valuation adjustment (CVA) and initial margin frameworks.