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

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: + 5

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: + 8

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: + 8

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

Model Validation: New Approaches in Testing Mathematical and Financial Correctness of Models

Company:Numerix LLC

In this paper, we will examine model validation as it is typically practiced today and then explore new approaches, including the benefits of testing with mathematical identities.

Category: Credit Derivatives | Published: 20 May 2014 | Type: White Paper

Rating: + 15

The OIS & FVA Relationship: The Evolution of OTC Derivative Funding Dynamics

Company:Numerix LLC

We will begin this paper with a discussion of the basics of OIS discounting and FVA for OTC derivatives—and then explore the relationship between the two concepts. We will also look at a case study that highlights the potential impact of FVA on trade profitability.

Category: Credit Derivatives | Published: 14 May 2014 | Type: White Paper

Rating: + 4

Model Risk: The Challenges of Legacy Code and Best Practices

Company:Numerix LLC

In this paper, we will examine the most common types and sources of model risk, and then outline best practices that practitioners can utilize in their model validation processes.

Category: Liquidity Risk | Published: 06 May 2014 | Type: White Paper

Rating: + 10

Mastering Model Risk: Assessment, Regulation and Best Practices

Company:Numerix LLC

In this white paper, we explore the evolution of model risk, including regulatory drivers and industry challenges. We also take a closer look at model risk analysis, examining model assessment, validation and review processes.

Category: Market Risk | Published: 30 April 2014 | Type: White Paper

Rating: + 20

Avoiding Collateral Surprises: Managing Multi-Currency CSAs and Cheapest-to-Deliver (CTD) Curve Construction

Company:Numerix LLC

This article explores the embedded optionality of multi-currency CSAs and the related challenges financial practitioners are facing in terms of collateral management and optimization.

Category: Credit Risk | Published: 26 September 2013 | Type: White Paper

Rating: + 12