Derivative Insights & Innovations from Numerix

Derivative Insights & Innovations Newsletter from Numerix
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Vol II, Issue 5 May 2014
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.
 
Alex Marion, VP of Insurance Product Management, discusses practical use cases for Economic Scenario Generation in today's Insurance marketplace. Highlights include how real-world ESG solutions are 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
Saul Stepner, Managing Director of Americas Sales, discusses the complex challenges insurance companies are facing—along with some innovative solutions. From rapid product design, to the tools to effectively risk manage and hedge complex life and annuity products—he discusses how stochastic analysis, hedge projection strategies and fast computation methods can be leveraged to achieve greater consistency and transparency across Asset Liability Management programs. 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
 
Derivatives Valuation: A Quantitative Approach to Modelling Optionality within Collaterals

Reconsidering Risk-Models: VaR vs. Expected Shortfall

The ABCs of CSAs

Pricing Model Validation – Regulation & Best Practices

Using CTD Collateral for Accurate OTC Derivatives Valuation
 
Most Read Blogs
 
Research and InsightsResearch & Insights
 
Industry Research | Model Risk: The Challenges of Legacy Code and Best Practices
This research paper, written by David Eliezer, PhD, Numerix Vice President and Head of Model Validation, explores the most common types and sources of model risk, and then outlines best practices for today's model validation processes. Topic highlights include sources of model risk; bug detection and prevention; challenges with poorly maintained legacy code and best practices for preventing unhealthy mathematical base code. Read paper.
 
Industry Insights | Front Office Risk & Technology: Virtual Seminar - Profitability, Pre-Trade Analytics and the Computing Power Necessary for Real-Time
Be it from regulatory or profitability pressures, the derivatives business is more competitive than ever. To properly manage risk and profit margins bank trading desks increasingly need real-time risk information at their fingertips. This virtual seminar addresses the challenges and demands of front-office risk and its intersection with technology. The four-part on-demand series features lectures on: Intersection of Risk & Technology; Integrating Risk Into Front Office Pre-Trade Analysis; CPU vs GPU in Capital Markets, and a panel discussion. Watch virtual seminar.
 
Industry News | Structured Products Americas Recognizes Numerix for Technology Innovation
This article discusses technology innovations, including advances in risk analysis, product design and hedging capabilities for insurers. Hunt Blatz, vice-president and head of model development at Transamerica Capital Management, discusses his work with Numerix and success with the Leading Hedge product. Mr. Blatz describes how Transamerica's run-times for both the Greeks run and the attributions run decreased due to technical improvements using Numerix software. Read Article.
 
Quantitative Collaboration | Dr. Massimo Morini Joins Numerix Quantitative Advisory Board
Numerix is excited to announce that Massimo Morini, Head of Interest Rate and Credit Models at IMI Bank of Intesa San Paolo, and Professor of Fixed Income at Bocconi University in Milan, has joined the Numerix Quantitative Advisory Board (QAB). Dr. Morini has specialized insight into global regulatory changes and how they are affecting the banking industry. Specific to how banks are managing XVAs and measuring the profitability of derivatives, Massimo regularly delivers advanced training, workshops and leads expert panels on the financial crisis at major international conferences worldwide. Learn More.
 
Case Study | HDFC Bank
Learn how HDFC Bank used Numerix to consolidate its market risk management and reporting capabilities, across multiple systems onto one platform—in addition to enhancing its market and counterparty credit risk analysis 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.
 
 
 
 
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 NewsletterMay 2014 Derivative Insights & Innovations Newsletter from Numerix

Derivative Insights & Innovations is a monthly thought leadership newsletter featuring topical articles, timely research, educational webinars, and more from Numerix experts and industry thought leaders.

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