Derivative Insights & Innovations from Numerix

Derivative Insights & Innovations Newsletter from Numerix
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Vol I, Issue 7 November 2013
In This Month's Issue
 
 
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
 
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.
 
 
Mohit Agarwal discusses counterparty credit exposure benchmarking in traditional Brute Force implementations of Monte Carlo versus American Monte Carlo. Watch Now
 
Slavek Rotkiewicz of TPG Software on the impact of recent regulatory changes on derivative accounting, valuations and managing risk.
Watch Now
 
Tom Davis explores the recent surge of the VIX and what modelers and risk managers need to be thinking about in terms of model selection and best practices. Watch Now
 
 
With the Fed clarifying plans to start slowing QE3, and hold off on tapering its massive monthly $85 billion bond program, Udi Sela explains the impact from an FX perspective. Watch Now
 
 
 
Most Watched Videos
 
Primer on Funding Value Adjustment

Managing the Valuation Adjustments Challenge – Understanding RVA Risk

The Fundamentals of OIS Curve Construction – Where to Start

The True Cost of OTC Derivatives Funding – FVA, OIS, and Profitability

John Hull on the FVA Debate and Liquidity Risk
 
Most Read Blogs
 
Research and InsightsResearch & Insights
 
Industry Insights | Risk Magazine Article – SABR Spreads Its Wings
In this cutting edge feature, as published in Risk Magazine, Numerix explores how traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity 'wings'. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option prices are analytically tractable. In the correlated case, model parameters can be mapped to a mimicking uncorrelated model for accurate option pricing. In this article, Numerix authors Dr. Alexander Antonov, Michael Konikov, and Michael Spector explain how. Read Article
 
Industry Innovations | Whitepaper – Counterparty Credit Exposure Profile Benchmarks
This paper examines the newly revealed Numerix "algorithmic" exposure simulation. The exposures are computed as a by-product of price computations by the American Monte Carlo method. This method has operational benefits since the pricing scripts can be reused for exposure computation. We also compare the Numerix method to the classical bruteforce Monte Carlo approach and conclude that the results agree with high accuracy—while the algorithmic exposure method is significantly faster than the brute-force Monte Carlo method.

Numerix users who have signed an NDA or SLA can access the paper by requesting a copy from Numerix Support ([email protected]) or by downloading it from the Numerix Knowledge Center here.
 
Case Study | pbb Deutsche Pfandbriefbank
Learn why pbb Deutsche Pfandbriefbank, a leading European specialist bank for real estate finance and public investment finance, selected Numerix for its firm-wide CVA calculations and to help meet its regulatory compliance requirements. 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
 
 
 
 
 
November 20, Numerix Webinar | A Holistic View of Risk for Fixed Income Portfolios: Best Practices in Stress Testing and Collateral Management
 
 
December 4, Numerix Webinar | Dynamic Replication of Indexed Annuities
 
 
For more information about Numerix webinars please visit www.numerix.com/events-and-webinars.

 
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Subscribe to the Derivative Insights & Innovations NewsletterNovember 2013 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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