Numerix LLC

Numerix is the global leader in cross-asset analytics for OTC derivatives, structured products and variable annuities, providing software and services for structuring, pre-trade pricing, trade capture, valuation, and risk management. Numerix offers a comprehensive model library and a transparent deal-definition architecture that allows rapid modeling of any instrument, including commodity, credit, equity, fixed income, foreign exchange, and inflation derivatives, plus a unique hybrid model framework for exotics and structured products. Numerix analytics are available through Windows applications, Excel add-ins, developer kits and a wide range of partner systems, with over 700 clients and 80 partners across more than 25 countries.

All content by Numerix LLC

Understanding the Riskiness of A GLWB Rider For FIAs

Company:Numerix LLC

This white paper assesses the risk associated with a GLWB rider for FIAs and analyses how different modelling choices can affect these risks. In Particular, the impacts of improving the estimate of future caps will be explored.

Category: Market Risk | Published: 26 May 2016 | Type: White Paper

‘Finalized,’ but Far from the Finish Line – Preparing for the Next Evolution of FRTB

Company:Numerix LLC

This white paper breaks down the requirements, methodologies and formulas relating to the 'final' FRTB text. It further provides a more simplified understanding of the potential IT challenges and costs ahead.

Category: Regulation | Published: 23 May 2016 | Type: White Paper

Rating: + 3

Bringing Real-time Risk into the Decision-making Process

Company:Numerix LLC

This whitepaper explores how using integrated analysis tools with drill down and real-time capabilities is essential for effective decision-making in today’s complex derivatives trading arena. It discusses how integrating risk, collateral and capital costs into the front office opens the gateway for... view abstract

Category: Structured Products | Published: 18 November 2015 | Type: White Paper

Rating: + 10

Negative Rates: The Challenge and the Opportunity

Company:Numerix LLC

Negative interest rates have recently become a critically important issue in finance, as they impact some of the most basic calculations and procedures used by the financial community. Two prominent examples are the quotation of option volatilities and volatility smile interpolation models.

Category: Derivatives | Published: 03 September 2015 | Type: White Paper

Rating: + 4

Navigating the Murky Waters of Initial Margin for OTC Derivatives

Company:Numerix LLC

This white paper looks at a breakdown of the different regulations for non-centrally cleared trades, how the new IM requirements affect the OTC derivative markets participants, IM based methodologies, the potential issues of the new sanctions and how to manage the ambiguities around IM.

Category: Credit Risk | Published: 02 July 2015 | Type: White Paper

Rating: + 5

The Free Boundary SABR: Natural Extension to Negative Rates

Company:Numerix LLC

This white paper describes one such extension of the widely used SABR model. We stress that our solution is more natural and attractive than the shifted SABR. An exact formula is derived for the option prices in the case of zero correlation between the rate and its volatility. For nonzero correlation... view abstract

Category: Interest Rate Derivatives | Published: 28 April 2015 | Type: White Paper

Rating: + 4

Reducing the Risk of Using Financial Models

Company:Numerix LLC

At their core, institutional financial markets exist to transfer risk. Whether via corporate lending, equity ownership or the creation and sale of structuredcredit derivatives, financial firms work to shuffle around different forms of risks—from those looking to mitigate it to those looking to take... view abstract

Category: Private Equity | Published: 23 April 2015 | Type: White Paper

Rating: + 7

Real-World Equity & Volatility Behavior: Implications for Economic Scenario Generation

Company:Numerix LLC

This paper examines the differences between risk-neutral dynamics and real-world dynamics, and the important role of risk premia. We highlight why real-world dynamics are necessary for risk analysis and scenario generation, and also explore the roles of the equity premium and volatility premium in... view abstract

Category: Operational Risk | Published: 16 April 2015 | Type: White Paper

Rating: + 6

Integrating Risk into Pre-Trade Analysis: Practical Ways of Bringing Credit, Liquidity, Funding and Regulatory Costs into an Integrated Profitability Framework

Company:Numerix LLC

As regulations in the derivatives market continue to be rolled out and implemented, financial institutions face growing pressure on their current business models. To survive and thrive in this new era of derivatives trading, today’s practitioners need to adopt a more integrated and holistic approach... view abstract

Category: Credit Derivatives | Published: 26 November 2014 | Type: White Paper

Rating: + 7

Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice

Company:Numerix LLC

This white paper explores the theory behind and practice surrounding Risk Neutral Modeling for Economic Scenario Generation (ESG). In addition to laying out the foundations of the Risk Neutral Measure and Fundamental Theorem, this study also sets forth several practical case study examples that demonstrate... view abstract

Category: Solvency II | Published: 19 June 2014 | Type: White Paper

Rating: + 5