Numerix Blog

pbb Deutsche Pfandbriefbank Chooses Numerix’s Award Winning CVA Solution

2012-02-15T09:42:34-05:00

Numerix CVA selected for accurate, near real-time credit risk valuations Numerix today announced that pbb Deutsche Pfandbriefbank, a leading European specialist bank for real estate finance and public investment finance has chosen Numerix for its firm wide CVA calculations to assist with regulatory compliance. Chosen for its accurate, near real-time credit risk valuations, Numerix CVA leverages its industry-leading CrossAsset analytics to deliver a highly flexible, transparent solution for CVA and potential future exposure (PFE). The ability to calculate firm wide CVA numbers for both client and bank counterparties quickly and accurately were key factors in pbb’s decision to further its...

Orchestrade Partners with Numerix to Expand Cross-Asset Pricing, Valuation and Risk Coverage

2012-01-31T11:03:38-05:00

Partnership enables Orchestrade clients to manage risk and operations on a single platform using Numerix CrossAsset pricing models and risk analytics This morning we announced a new partnership with Orchestrade. Through the partnership, hedge funds and asset management firms can manage business events for all asset types from a single platform. Orchestrade clients can now leverage the full suite of Numerix models to price newly structured products and generate yield curves or volatility surfaces for every asset class from vanillas to exotics. The Orchestrade Positions, Risk and Processing engines can also be integrated seamlessly with Numerix pricing and analytics in...

Food for Thought: Innovative Model Risk Management Theories to Consider in the New Year

2012-01-25T12:58:25-05:00

We recently looked at several key areas of focus when it comes to effective model risk management in 2012. In Massimo Morini’s recent book, “Understanding and Managing Model Risk: A Practical Guide for Quants, Traders and Validators” (The Wiley Finance Series), he focuses on model risk and validation from a more theoretical approach. He explores the two different approaches to model validation set forth by the ‘Fathers of Quantitative Risk Management’-- Emanuel Derman, Professor at Columbia University, former Head of Quantitative Risk Management at Goldman Sachs, and author of “Models.Behaving.Badly” and Riccardo Rebonato, Head of Front Office Risk Management and...

Improving Transparency in the US Retail Structured Products Market

2012-01-23T13:53:47-05:00

Despite certain challenges and changing client expectations, the US retail structured products market is a growing industry, with USD 20 Billion of issuance in the last 12 months and approximately 4,000 new products issued annually since 2008. Clearly a less mature market than the well-established structured products market in EMEA, the popularity of structured products in terms of investment, growth and popularity has not accelerated to the level of other investment types, such as mutual funds, ETFs and ETNs in the US market. Indeed, there is a need for increased education and transparency in the US retail structured products market....

Looking Forward: What Trends Will Impact Model Risk Management in 2012?

2012-01-18T11:02:07-05:00

As we ring in the New Year, companies are gearing up and looking at several key areas of focus when it comes to effective model risk management in 2012. We all know that banks’ expanding use of data-driven, quantitative analysis and financial models in most aspects of their financial decision making has escalated the need to manage ‘model risk’ like any other type of risk. In recent years, as banks have tried and applied financial models to more complex products, we’ve seen that the models themselves can impose risk if they are incorrect, misapplied or misused. Last year, in response...