Video Blog | Pricing Model Validation – Regulation & Best Practices
Dr. David Eliezer, Vice President & Head of Model Validation at Numerix, discusses the increased importance of model validation, including the primary regulatory and market drivers impacting the resurgence of model validation. He explores a number of issues, including the importance of transparency and the five key components that comprise the validation process for derivatives. Model implementation and best practices to address fundamental model issues are also explored. Watch Now

 

Learn more from our experts on the Numerix Model Validation Research and Insights page, including new approaches for mathematical testing and best practices for managing your model risk.

Webinar | Model Validation Case Studies: Using Automated Model Tests to Improve Derivative Pricing Models
Since pricing models are mathematical models, they satisfy mathematical identities which can provide strong tests that leave very little possibility for error. These tests provide failure conditions that require no human judgment, that can be automated, and that can, therefore, run over tens of thousands of test scenarios. Significant advances in computing power such as the cloud and grid computing now make automated testing more accessible to market practitioners, making the testing inexpensive, rapid, and easy. This results in a faster time-to-market for validating models, and a stronger case can be made to regulators that models are not only thoroughly tested—but that the models are really, truly right. View Webinar

 

Research Paper | Model Validation: New Approaches in Testing Mathematical
and Financial Correctness of Models
As we have come to realize, the validation of derivative pricing models can be a slow, labor intensive and expensive exercise. Moreover, it often provides a limited amount of certainty on the correctness of the pricing models. In this research paper, David Eliezer, PhD, Vice President & Head of Model Validation at Numerix, explores new approaches practitioners can utilize to improve their model validation processes. Read Paper

 

 

Video Blog | Evolving Variable Annuity Landscape
In this video, Alex Marion, Vice President of Product Management at Numerix for Insurance, discusses the de-risking of insurance products and the state of the state within the variable annuity industry. The discussion focuses on the evolution of actuarial modeling, including the impact of hedge projection strategies and the role of predictive analytics. Watch Now

 

On-Demand Numerix Webinar | The Case for Dynamic Replication of Indexed Annuities
Insurers have traditionally managed the market risk exposure from Index Annuities through static hedging programs, purchasing structured hedges OTC. Sustained lower rates and increased competition have led insurers to look for more cost-effective means of providing this market exposure to their policyholders. Dynamic hedging is one promising avenue to reduced costs. This webinar explores different strategies for the dynamic hedging of Index Annuities. View Webinar

 

Industry News | Increased Cloud Adoption Would Save Hedge Funds Millions
A switch to cloud technology would provide badly needed computing power and significantly reduce technology costs for institutional investors. In fact, a new report from Greenwich Associates, Cloud Computing for the Buy Side: Moving Beyond the Myths, concludes that hedge funds could reduce computing costs related to portfolio analysis by 50% by switching to an enterprise cloud offering. Read Article

 

Industry News | Waters Sell-Side Technology Recognizes Numerix for Best Sell-Side Credit Risk Product
According to WatersTechnology, Numerix's handle on Basel III-mandated credit valuation adjustment (CVA) calculations and dynamic CVA hedging is well-established, and this year it finished up a refresh of its stack to include debt valuation adjustment (DVA) and funding valuation adjustment (FVA) calculations, with a newly reengineered 'XVA' framework for CrossAsset. Though neither DVA nor FVA is required of sell-side firms to the extent that CVA is under global regulation—yet—the analytics provider identified a growing need as major investment houses seek to more accurately measure the short- and long-term profit and loss (P&L) of individual trades over time on their own, especially for bespoke contracts and structured notes. Read Article

 

Numerix News | New South Wales Treasury Corporation (TCorp)
Learn how Numerix provided the New South Wales Treasury Corporation with a platform capable of managing the business logic for its debt portfolios comprised of bespoke instruments, improving the efficiency of its debt risk management programs. Learn More

 

 

 

 

 

 

 

 

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