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