Derivative Insights & Innovations from Numerix

Derivative      Insights & Innovations Newsletter from Numerix
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Vol I, Issue 8 December 2013
In This Month's Issue
 
 
Featured Numerix Video Blogs
 
Numerix experts and industry leaders discuss pressing issues, strategies and hot topics for derivatives market participants and risk managers on the Numerix Video Blog.
 
Dr. David Eliezer PhD, Vice President and Head of Model Validation, discusses the increased importance of model validation, including regulatory drivers, key components and best practices. Watch Now
Udi Sela explores the latest industry debate and regulatory implications surrounding the adoption of risk models and standardized approaches – including challenges associated with the shift to expected shortfall of tail risk versus VaR. Watch Now
 
Numerix explores the connection between funding and profitability for both buy and sell-side participants. He also addresses the Standardized CSA and its role, and explores key pricing and funding factors to consider. Watch Now
 
 
ARE YOU A NUMERIX USER? JOIN THE NUMERIX USER GROUP ON LINKEDIN! >> Get Exclusive       Content >> Learn Best Practices >> Collaborate with Fellow Users JOIN THE GROUP >> http://www.linkedin.com/groups/Numerix-User-Group-4949530/about
 
 
 
Most Watched Videos
 
John Hull on the FVA Debate and Liquidity Risk

Fundamentals of OIS Curve Construction

Counterparty Credit Exposure Benchmarking

Capturing the Dynamics of Stochastic Volatility

OCC Due Diligence Guidelines: Maintaining Effective Portfolio Risk Management

 
Most Read Blogs
 

Research and InsightsResearch & Insights
 
Industry Insights | OIS & FVA Relationship: Evolution of OTC Derivative Funding Dynamics
This paper, written by Satyam Kancharla, Numerix Senior Vice President, explores the basics of OIS discounting and FVA for OTC derivatives—and then dives deeper into the relationship between the two concepts. The whitepaper also includes a case study that highlights the potential impact of FVA on trade profitability. The author concludes that FVA is a real charge that will affect the profitability of trades, and therefore, should impact decision-making about the trade. We come to see why it is imperative to know this cost in order to make the best business decisions. Read more.
 
Industry Innovations | The Numerix Approach to Funding Value Adjustment for General Financial Instruments
While OIS has emerged as the new proxy for the risk-free rate and the standard for collateral discounting, the fact remains that a multitude of funding rates dictated by collateral agreements are utilized across a portfolio. From a quantitative point of view, the inclusion of multiple sources of funding, such as unsecured money market funding, collateral and repo, leads to a nonlinear partial differential equation (PDE) featuring multiple discounting rates. Solving this nonlinear PDE is a difficult numerical problem, which is why disposing of a practical approximate implementation methodology is as important as working on rigorous theoretical foundations. Read more.
 
Case Study | BlackRock Solutions (BRS)
Learn how Numerix provided the depth and breadth of models needed to expand BlackRock Solutions' FX exotic derivatives platform and helped to accelerate the implementation of its FX analytic capabilities. Read Case Study
 

On-Demand WebinarsOn-Demand Webinars
 
Missed one of our educational, thought leading webinars? Watch the recording on-demand. Each month we'll feature the latest and most popular webinars hosted by Numerix here, or you can visit our full webinar archive to explore more.
 
 
 

Insurance Focus
 
Each month the newsletter will feature content tailored to insurance professionals, addressing key pricing, valuation, hedging, product design, ALM and risk management issues for the Insurance sector.
 
 
 
 

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

 
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Subscribe to the Derivative Insights & Innovations NewsletterDecember 2013 Derivative Insights & Innovations Newsletter from Numerix

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