Derivative Insights & Innovations from Numerix
|
|
Vol II, Issue 8 August 2014
|
|
In This Month's Issue
 I. On-demand Numerix Seminar Series
XVA Master Class Virtual Seminar
This summer, Numerix and PRMIA are pleased to introduce a complimentary, on-demand XVA Master Class, which will demystify the XVAs and analyze how these adjustments are handled in the real world. In addition, the seminar explores how various XVAs behave under different market conditions and how to approach them consistently.
VIRTUAL SEMINAR PRESENTATIONS INCLUDE:
PRESENTATION I – Derivatives FVA and Recommended Bank Funding Policy
Presenter: Moorad Choudhry, Department of Mathematical Sciences, Brunel University
This presentation explores derivatives FVA from a real-world treasury perspective, highlighting how it impacts the balance sheet, and best practices for addressing it. Watch Now
|
PRESENTATION II – A Consistent Treatment of XVAs
Presenter: Ilja Faerman, VP of Financial Engineering, Numerix
This presentation reviews risky discounting, outlines the limitations of this approach, and discusses a framework for a consistent approach to XVA calculation. Watch Now
|
 II. On-demand Numerix Seminar Series
FVA Master Class Virtual Seminar
This Master Class explores FVA & the role it plays in the XVA ecosystem. The on-demand lecture series features two video presentations, which cover the fundamentals of FVA theory and dynamics, the Numerix approach to FVA for general instruments and the relationship between OIS & FVA.
VIRTUAL SEMINAR PRESENTATIONS INCLUDE:
KEYNOTE PRESENTATION – FVA for General Instruments: Theory & Practice
Presenter: Alexander Antonov, SVP of Quantitative Research, Numerix
This presentation reviews current FVA theory and outlines a new universal FVA framework by Numerix. Watch Now
|
PRESENTATION II – The OIS and FVA Relationship
Presenter: Ion Mihai, Quantitative Analyst, Numerix
This presentation examines the fundamentals of OIS discounting and Funding Value Adjustment for OTC derivatives, delving into the relationship between the two concepts. Watch Now
|
|
|
Most Watched Videos
Incorporating XVA into the Valuation Process
Corporate End Users Unfazed by Derivatives Reform?
Using Cheapest-To-Deliver (CTD) Collateral for Accurate OTC Derivatives Valuation
Insurance Trends: The Evolving Variable Annuity Landscape
John Hull on the FVA Debate and Liquidity Risk in OTC Derivatives
Most Read Blogs
|
Numerix On-Demand Webinar | Chartis Research & Numerix Co-Presentation: Best Practices in Model Risk Management
In this on-demand webinar, speakers Sidhartha Dash, Research Director at Chartis Research, and Dr. David Eliezer, Head of Model Validation at Numerix, review recent industry and regulatory developments in model risk management. This webinar also explores best practices in quantifying and monitoring model risk—including hedge performance approach and measurement and model performance monitoring. View Webinar
Numerix On-Demand Webinar | Trading Volatility as a Separate Asset Class: An FX Market Case Study
If it is possible to trade a market's volatility, should volatility be considered a separate asset class? If so, are there risk/reward benefits to including this asset class in a portfolio's asset allocation? What are the best ways to trade the volatility of a market? In this on-demand webinar, Udi Sela, Numerix Vice President, discusses how volatility can be traded as a separate asset class, using FX market examples to illustrate different ways to trade FX volatilities. View Webinar
Industry News | Institutional Investor Ranks Numerix on 2014 Tech 50 List
 Numerix CEO, Steve O'Hanlon, has been ranked amongst the industry's most prominent technology executives in the 2014 Tech 50, recently published by Institutional Investor, alongside: Bloomberg, ICE, BoA, Markit, BlackRock and Goldman (just to name a few.)
Described as flexible and capable of seizing opportunity in a fast-paced market environment, Numerix truly embodies this year's theme "Moving Out of the Lab and into the Cloud," reflecting how today's technology professionals are bringing Silicon Valley sensibilities to Wall Street. Read Article
 Industry News | Numerix Voted Best Credit Risk Solution Provider in the 2014 Waters Rankings
With Basel III CVA capital charges and EMIR / Dodd-Frank central clearing all coming into effect, we all know that today's financial institutions have to manage risk with greater precision. The cost of OTC derivatives trading is also increasing with the collateralization of bilateral trades, forcing firms to manage and optimize margin, and collateral usage. Learn more about how Numerix CrossAsset evolves counterparty credit risk measures and addresses today's XVA challenges. Read More
Numerix Case Study | Banque Internationale à Luxembourg (BIL)
Learn how Banque Internationale à Luxembourg (BIL) uses Numerix CrossAsset for conducting rigorous model analysis to independently validate pricing and risk sensitivity outputs—as well as make comparisons between different models to analyze how the outputs vary under different assumptions.
Read Case Study
|
|
