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

Collateral Discounting: Rethinking the Interest Rate Pricing Framework from its Basic Concepts

Company:Numerix LLC

This article examines how a swap portfolio’s value differs under the single and multi-curve approaches at four different snapshots in time―including pre-crisis, at the height of the crisis, post-crisis and today.

Category: Credit Risk | Published: 25 September 2013 | Type: White Paper

Rating: + 16

Hedging CVA and DVA

Company:Numerix LLC

This paper illustrates the challenges and complexities financial institutions face in hedging Credit Valuation Adjustment (CVA) and Debit Valuation Adjustment (DVA) in the present market and regulatory environment.

Category: Credit Derivatives | Published: 24 September 2013 | Type: White Paper

Rating: + 16