Derivative Insights & Innovations from Numerix

Derivative          Insights & Innovations Newsletter from Numerix
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Vol II, Issue 11 November 2014
In This Month's Issue
 Numerix Launches New Model Risk Management Suite Promo
On-Demand Webinar | Model Validation Case Studies: Using Automated Model Tests to Improve Derivative Pricing Models
This webinar explores how practitioners can utilize a variety of automated model tests to uncover and fix problems with their models. We illustrate examples of the tests with several relevant case studies. View Webinar
Pricing Model Validation Video BlogVideo Blog | Pricing Model Validation – Regulation & Best Practices
Numerix expert David Eliezer discusses the increased importance of managing model risk and model validation to address fundamental model issues in this video blog. We examine primary regulatory market drivers and touch on a number of issues, including the importance of transparency and the five key components that comprise the validation process for derivatives.
View Webinar

Expert Insights | A How-to Guide to Quantifying Model Risk
As regulatory pressure continues to increase, institutions have elevated the importance of managing their model risk. Regulatory focus has largely shifted to the “how”— regulators want to know how the models work and how to approach these models. Our experts discuss the latest industry and regulatory developments in model risk management and some best practices for quantifying and monitoring model risk.
Read Blog

Most Watched Videos

Incorporating XVA into the Valuation Process

Thinking Forward: The Business of Derivatives under New Clearing Mandates

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

Is Every FX Trade a Carry Trade? – An Expert View with Udi Sela

Leveraging Real-world and Risk Neutral ESG solutions within Insurance

Most Read Blogs

Special Feature: ESG
On-Demand Webinar | Real World Interest Rate Modeling: Translating Economic Assumptions into Risk Premia
Featured speaker Alex Marion, Vice President of Product Management at Numerix, discusses approaches to producing real world interest rate scenarios which match a firm’s forecast for future interest rates—while producing realistic rate dynamics and relatively stable projections over time. This stability is important to various stakeholders, who expect to see similar long-term rate projections each month and not wildly different projections each time they are run. View Webinar
On-demand Webinar | Real-World Equity & Volatility Behavior: Implications for Economic Scenario Generation
Practical issues in real-world economic scenario generation are explored in this on-demand webinar. We examine the implications of incorporating risk premia for equity scenarios, discuss estimation issues associated with identification of risk premia parameters, and show how the American Monte Carlo approach can be used to generate real-world risk profiles. View Webinar
Leveraging Real-world and Risk Neutral ESG Solutions within Insurance and Financial Correctness of ModelsVideo Blog | Leveraging Real-world and Risk Neutral ESG Solutions within Insurance and Financial Correctness of Models
Here we sit down to discuss several use cases for Economic Scenario Generation in today’s insurance marketplace. We address real-world ESG and how it is being leveraged to project forward liabilities for economic capital applications, as well as risk neutral ESGs for the pricing and hedging of embedded derivatives within insurance products.
Watch Now

Research | Whitepaper -Risk Neutral Modeling for Economic Scenario Generation: In Theory and Practice and Financial Correctness of Models
This paper sets forth several practical case study examples that demonstrate the importance of risk neutral modeling and joint calibration in market consistent valuation, regulatory reporting, risk and capital forecasting—and the overall enhancement of a firm’s risk management. Read Paper
News & Awards | Technology Innovation of the Year - Numerix Advances Risk Analysis, Product Design & Hedging Capabilities for Insurers
Discover more about how Numerix is assisting more than 20 insurance clients in the Americas that use its technology and analytics for risk management, product design and hedging. Read Article
Industry News and Insight
Video Blog - Rethinking Corporate Hedging Video BlogVideo Blog | Rethinking Corporate Hedging Strategies in Light of Increasing Volatility Trends
With corporate hedging considered cheap and easy over the past few years, are today's corporates prepared for spikes in volatility and increases in hedging costs? In this video blog, we explore the meaning and implications surrounding the recently published Risk Magazine article, “Expert Warns of Corporates’ Complacency over FX Hedging Costs.” Watch Now
Expert Insights | Pitfalls and Best Practices-Initial Margin Methodologies for OTC Derivatives
In this analysis, we describe what we consider to be the four most widely used, industry-accepted Initial Margin (IM) based methodologies. These include: Historical VaR, Variance Covariance VaR, Monte Carlo VaR and Scenario-based methods—including the best practices for each. Our discussion begins with first outlining the key steps involved in using these popular IM methodologies. Read Blog
Regulatory Research | Navigating the Murky Waters of Initial Margin for OTC Derivatives
With current IM methodologies not yet standardized across the market, what is the best way to navigate this murky labyrinth? Our analysis begins with breaking down the IM regulations for OTC Derivatives into eight key principles and requirements. Read Blog
Industry Insights | White Paper - Analytic Approximation for Prices of American Options, Time-Dependent Settings, Proportional and Discrete Dividends: The Decoupled Volatility Framework
This research paper, written by Yuriy Shkolnikov, introduces a fast analytic price approximations for American options on lognormal or close to lognormal underlying assets with discrete time-dependent parameters. Two types of dividends considered here are proportional and discrete-strike convention. Download Paper
Case Study | Transamerica
Transamerica implemented a new Future Greeks functionality within the Numerix Leading Hedge platform, enabling nested stochastic projections. This new module enabled Transamerica to reduce end-to-end run time from 40 hours to 6 hours, while improving modeling precision. Learn how Leading Hedge is setting the stage for additional uses for nested stochastic projections. Read Case Study

Numerix On-Demand User Webinar | Using Microsoft Azure with Numerix Spreadsheets: Supercharge Calculation Speeds and Get Faster Results
This on-demand webinar* shows users how Numerix Spreadsheets can be connected to the Microsoft Azure cloud, to dramatically reduce calculation times and provide faster results back to the user to facilitate faster decision-making. View Webinar

* Please note: This webinar is available for Numerix clients only.

Events and Webinars

November 12 | "Prudent Valuation: Bridging the Gap Between Pricing & Risk Management”, with special guest speaker Marco Bianchetti of Intesa Sanpaolo

For more information about Numerix webinars please visit


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