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Vol I, Issue 5 September 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.
Udi Sela, VP, reflects on the current state of global derivatives regulations — including US-EU swaps rules and the proposed Financial Transaction Tax (FTT). Watch Now |
Tom Davis, PhD, discusses FASB's decision, including potential implications for hedgers, buy-side market participants, insurers and those who haven't yet shifted to OIS. Watch Now |
Alexander Antonov, PhD and Senior VP of Quantitative Research, unveils a new universal framework for Funding Value Adjustment (FVA) and also discusses Numerix's latest SABR model innovations. Watch Now | |
Most Watched Videos
The Fundamentals of OIS Curve Construction - Where to Start
A Primer on Funding Value Adjustment (FVA)
The True Cost of OTC Derivatives Funding - FVA, OIS and Profitability
Economic Value Adjustment – The Intersection of CVA, FVA, OIS & CSAs for OTC Derivatives
The ABCs of CSAs
Most Read Blogs
Comprehensive Risk Management of OTC Derivatives
OIS Discounting: The Increasing Complexity of Curve Construction
A Primer on Risk Neutral Modeling for Economic Scenario Generation
OIS Discounting and OTC Derivatives: Demystifying the Confusion
Model Validation: The 'Holy Grail' for Risk Mitigation?
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Research and Insights
Summer School Master Class | Part II – Two New Lectures: Funding Valuation Adjustment for OTC Derivatives and Derivative Funding Costs, Funding Policy and FVACheck-out the newest additions to our summer school video series. In these two lectures on Funding Value Adjustment (FVA), Numerix and PRMIA have teamed up to provide hands-on technical instruction related to FVA for OTC derivatives—in addition to an analysis of derivative funding costs. In the first lecture listed above, Ion Mihai, PhD, covers the relationship between OIS and FVA, CSAs and how to calculate FVA. In the other FVA lecture, Moorad Choudhry, author of Principles of Banking and Professor at the Department of Mathematical Sciences at Brunel University, presents a primer on mastering the fundamentals of FVA. Watch both video lectures now.
Case Study | China CITIC BankLearn how Numerix enabled China CITIC Bank to price its most complex financial instruments across all asset classes, as well as manage the risk exposures of these products and evaluate all the necessary information for risk management. 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. Model Validation for Derivative Pricing Watch Now
Model Risk - Assessment, Regulation, and Best Practices Watch Now
Swap Pricing in a Centrally Cleared World Watch Now
Stress Testing – Regulatory Nuisance or Indispensable Risk Management Tool? Watch Now
To Hedge or Not to Hedge, That is the Question: Actively Hedging CVA and DVA Watch Now
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. Whitepaper | Considering Stochastic Mortality in Pricing Variable Annuities – Applications of the Lee Carter Model Request Paper
On-demand Webinar | Economic Scenario Generation: Advanced Models and Indicators Watch Now
Upcoming Events and Webinars Calendar
September 9-11, Pricing Model Validation, London
September 10, 10 a.m. EDT, Webinar: Advanced OIS Curve Building Approaches: Improving Accuracy at the Short End of the Curve
October 2, Financial Risk Management Forum 2013, Tokyo
October 16-18, WBS 9th Fixed Income Conference, Munich
October 21-24, Incisive, Risk USA, New York
November 18-19, SOA, Equity-Based Insurance Guarantees, Atlanta
November 20, Incisive, Risk & Return Italia, Milan
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