Derivative Insights & Innovations from Numerix

Derivative                                                       Insights & Innovations Newsletter from Numerix
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Vol III, Issue 3 March 2015
In This Month's Issue
 
 
 
Industry News and Insight
 
Blog | Top 10 Basel III Priorities in Focus: Aligning Implementation Objectives Across the Banking Enterprise
Numerix and Celent have identified a top ten list of priorities that institutions need to be thinking about in terms of Basel III implementation this year, and beyond.
Read Blog

 
Top 10 Basel III Priorities in Focus: Aligning Implementation Objectives Across the    Banking Enterprise
 
 
Satyam_Kancharla Expert Insights | Basel III Implementation: What's Next? Tackling Liquidity, Stress Testing & Fundamental Review of the Trading Book
From liquidity management, to the growing scope of stress testing requirements and overlapping responsibilities across the banking enterprise–market practitioners are increasingly asking themselves: What now? What’s next?
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Industry News and Insight
 
Basel III implementation framework
Numerix Research Paper | The Free Boundary SABR: Natural Extension to Negative Rates
In this research paper, Alexandre Antonov, Michael Konikov, and Michael Spector have presented a natural generalization of the SABR model to negative rates–which is very important in the current low-interest-rate environment. Learn more about how this recent development of the free boundary SABR is a natural, convenient and elegant extension of the classical SABR.
Read Paper

 
 
Most Watched Videos

Leveraging Real-world and Risk Neutral ESG solutions within Insurance

Incorporating XVA into the Valuation Process

John Hull on the FVA Debate and Liquidity Risk in OTC Derivatives

Bank Regulation & Market Liquidity - Where are we Five Years Later?

Insurance and Risk Management: Managing Today's Big Data, Compute and Modelling Challenge

Most Read Blogs

Industry News and Insight
 
Model Risk Management: Quantifying, Monitoring and Mitigating Model Risk On-Demand Webinar | Model Risk Management: Quantifying, Monitoring and Mitigating Model Risk
Featured speakers Dr. Massimo Morini of IMI Bank of Intesa Sanpaolo and Dr. David Eliezer of Numerix discuss ways to detect model risk, explain model choices, and set up proper risk management procedures in order to mitigate model risk.
View Webinar

 
Alex Marion On-Demand Webinar | Vega Maps: New Methods for Quantifying Vega Risk of VAs & FIAs
In this webinar, Alex Marion, Vice President of Product Management at Numerix, introduces a new framework for mapping vega risk of VAs and FIAs to allow for bucketing vega risk by tenor, as well as measuring sensitivity to changes in skew and smile. The combination of the sensitivities produces a vega map profile that allows for more efficient replication of vega risk using vanilla options.
View Webinar
 
 
On-Demand Webinar | The Free Boundary SABR: Natural Extension to Negative Rates
Featured speakers Dr. Alexandre Antonov and Dr. Michael Konikov discuss how the SABR model can be extended to incorporate a “free boundary” SABR process, which more naturally permits negative rates than a shifted SABR process and eliminates the arbitrary lower bound on rates.
View Webinar

 
 
Industry News and Insight
 
Case Study | BlackRock Solutions®
Learn how Numerix enabled BlackRock Solutions to accelerate the implementation of expanded FX analytic capabilities in its platform by providing a flexible and scalable solution.
Read Case Study


Industry News and Insight
 
News | Numerix Featured in MILSTE’s “The Blueprint to Banking in Taiwan 2015”
In this compelling new publication, Numerix CEO Steven O'Hanlon discusses the latest trends, challenges and opportunities emerging in Taiwan’s banking industry. He brings to the forefront the analytics solutions institutions need in order to compete in this growing market, and explains how emerging derivative risks can be understood and effectively managed. Read article: The Blueprint to Banking in Taiwan 2015. Or, download the Chinese version here.
 
Events and   Webinars
 






 
 
For more information about Numerix webinars please visit www.numerix.com/events-and-webinars.

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 

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