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Vol I, Issue 6 October 2013
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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.
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In this video blog Denny Yu, VP of Client Solutions and Risk Product Manager, talks with Jim Jockle, CMO, about today's derivatives pricing challenges – namely the notion of replacement valuation adjustment (RVA). They discuss this latest metric, how it can be measured, who it impacts and how banks can best manage it. Watch Now
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In this video, Tom Davis, VP of Client Solutions at Numerix, and TABB senior analyst Paul Rowady take a deep dive into the evolution of derivatives funding costs and the role of FVA. They explore what it is, who it impacts, and how it can dramatically impact the profitability of a trade. Watch Now |
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Most Watched Videos
The Fundamentals of OIS Curve Construction
A Primer on FVA
Cross-Border Derivatives Regulation – A Checklist for Readiness
Derivatives Funding Dynamics and SABR Spreads Its Wings
FASB Shakes Up Hedge Accounting Standards
Most Read Blogs
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Research and Insights
Industry Insights | Whitepaper - Mastering Model Risk: Assessment, Regulation and Best Practices This whitepaper explores the evolution of model risk, including current regulatory drivers, industry challenges and best practices. Our research takes a deeper dive into the sources of risk— such as bad data, incorrect assumptions and poor implementation. The paper also outlines a model risk assessment and case study of a large insurer, with a diverse portfolio of assets. In conclusion, we outline the four best practices for model risk management. This paper was written by Satyam Kancharla, Numerix Chief Strategy Officer & SVP of Client Solutions Group. Read More
Case Study | Banque Internationale à Luxembourg (BIL) Learn why Banque Internationale à Luxembourg (BIL), a pioneer in the Luxembourg financial industry, selected the Numerix CrossAsset analytics platform to support its model validation and model comparison processes. Read Case Study
On-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 we'll feature content tailored to insurance professionals, addressing key pricing, valuation, hedging, product design, ALM and risk management issues for this sector.
Solutions and Innovations
Solution Spotlight | Universal Local Stochastic Volatility Model with Jumps (ULSVJ) In our most recent CrossAsset release, Numerix introduced the Universal Local Stochastic Volatility Model with Jumps (ULSVJ), now enabling the quick and accurate pricing of exotic FX and EQ barrier options. Specifically, the ULSVJ helps to make pricing and risk tools for semi-exotic derivatives, such as barrier options, more accurate and robust in terms of performance. The ULSVJ framework can be used in conjunction with a range of FX and EQ options including European, American and Bermudan exercise and Digital Options (both Cash-or-nothing and Asset-or-nothing), all of which can also be combined with barriers. Learn more about ULSVJ
In the News
 Numerix Awarded Best Technology Innovation in FOW Awards - Asia Numerix recently won the "Best Innovation by an ISV – Regulatory Change" Award in the Technology category, during the 2nd annual awards for Asia, hosted by FOW – Futures & Options World, the global derivatives magazine. Numerix was recognized for its scalability in valuation and risk reporting using Numerix CrossAsset Server; and for achieving a unified view of risk, while meeting the new market standard for speed & accuracy. See Full List of Winners
Upcoming Events and Webinars Calendar
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