Numerix_CrossAsset_Suite_brochure

Numerix CrossAsset Suite
•F
air Pricing & Transparency: Pre/post-trade
pricing of financial derivatives
•M
odel Validation: Richest set of models
& full transparency
•C
ounterparty Risk: Providing cutting edge
CVA, DVA, PFE & FVA
®
•C
onsistent & Accurate Risk Reports: Accurate
risk numbers across all asset classes
• Scenario Analysis: Bump & twist any risk component
NUMERIX CROSSASSET
A SINGLE ANALYTICS PLATFORM
With over 700 clients across
Whether you need a single asset class or a complete cross-asset solution, Numerix
CrossAsset can be scaled to meet your company’s needs, from stand-alone desktop
installations to enterprise-wide deployments. At the foundation of the Numerix
architecture is the most sophisticated library of cross-asset models and methods that
has been developed and integrated by our award-winning quantitative research team.
buy- and sell-side institutions,
insurance, governments,
auditors and regulators—
and broad deployment inside
the world’s largest trading
The Numerix Analytics Architecture: A flexible & transparent framework
within a single analytics platform
and risk systems—
NUMERIX SOLUTIONS
the Numerix CrossAsset
engine provides a single
analytics platform for
all of your analytic needs,
powering mission critical
operations—from trading
CrossAsset XL
Structurer
Edition
CrossAsset
Server
Leading
Hedge
Portfolio
CrossAsset XL
Trader & Risk
Edition
Partner &
Proprietary
Systems
Leading
Hedge
Workbench
CVA
Bloomberg
Edition
• Infinitely flexible
structuring, scripting
and deal definition
ANALYTICS PLATFORM
transparency enterprise-wide.
CrossAsset Integration Layer & SDK
C#
C++
Python
Java
• Hundreds of predefined
instrument templates
• An open objectoriented architecture
ESG
through risk management,
enabling consistency and
• Over 40 industrystandard models and
methods, across all
asset classes
Matlabs
• Easily embedded into a
wide range of systems
its models and methods
library we’re able to
reduce operational risk
and external valuation
costs across the bank.”
— Chairman of the Valuation
Steering Group, Swedbank
Risk
analytics and utilizing
External Model API
“By implementing Numerix
Asset Classes
• One analytics platform
• Fixed Income
• Equity
• Inflation
• Foreign Exchange
• Credit
• Commodities
• Life
• Volatility
Hybrid Modeling
Market Credit
Counterparty
Numerix Models & Methods Library
Numerix CrossAsset
Trader & Risk
Numerix CrossAsset Structurer*
Numerix CrossAsset Server
Primary usage
Trading and Front Office Risk
Deal Structuring, Report Creation
& Model Validation
Large Portfolio Valuation,
Exposures and Risk, Pre-trade &
Post-trade Risk Analysis
Primary users
Traders, Sales, Treasurers,
Portfolio Managers
Structurers, Quants, Market Risk
Managers, Auditors
Market Risk Managers,
Management, Partners, IT
Interface
Excel
Excel
XML, Webservices, JMS, Python
NUMERIX CROSSASSET SUITE
Core Functionality
Pre-trade pricing
Valuations / MTM
Greeks & sensitivities
Trade templates
—
Risk reports
Access to template repository
Technology
Risk
Trading &
Structuring
Pre-trade strategy development
—
Multi-asset class trade blotters
—
Deal structuring
—
—
Advanced Risk Scenario Framework
—
—
CVA/DVA/PFE/FVA
—
CVA sensitivities
—
VaR (historical, stressed, Monte Carlo)
—
Expected tail loss/shortfall
—
PnL explained
—
Model validation
—
Real-time alerts
—
—
Scalability/portfolio size (# trades)
<1,000 desktop/scale to
CrossAsset Server
<100
1,000,000+
Performance
Up to Excel limits
Up to Excel limits
Real-time
Trade template deployment
1–2 days plus structuring time
2–5 days
1–2 days plus structuring time
Real-time pre-deal limit monitoring
—
—
Real-time slicing & dicing of reports
—
—
Business intelligence/visualization
—
—
Architecture
XLL/C#
XLL/C++
Open source
Database
Excel
Excel
User preference
Integration API
Excel
Excel
CAIL API (data driven) /Java
Market data connectivity
Bloomberg, Thomson Reuters,
user preference
Bloomberg, Thomson Reuters,
user preference
Bloomberg, Thomson Reuters,
user preference
Deal revaluations in Bloomberg interface
—
Integration to third party systems
—
—
­
Grid enabled
Cloud enabled
Available
— Not Available /Not Applicable
­—
* CrossAsset Structurer is also available as a Bloomberg Edition - more information available
NUMERIX: LEADING THE INDUSTRY IN ADVANCED MODELS AND METHODS
Comprehensive CrossAsset Library
The Numerix CrossAsset library offers the industry’s most
comprehensive collection of models and methods, allowing
institutions to price any conceivable instrument using the most
advanced calculations, in addition to a wide range of calibration
options for generating market-consistent valuations.
The Numerix Hybrid Model Framework:
Unifying All Asset Classes
Select desired models based on underlyings, and
use them as building blocks for the hybrid model:
With an infinitely flexible architecture for defining bespoke
deals—and the ability to integrate your own internal
models—Numerix allows you to deploy a unified pricing
and risk solution for all your derivative and fixed income
positions across all trade types.
Optimized Numerical Methods
Pricing derivatives often involves intense computations.
Our quantitative analysts have developed methods that
have been optimized for speed and accuracy, enabling rapid
calculations for even the most complex instruments.
The Industry’s Only Independent Solution for Hybrids
Numerix hybrid model framework produces accurate
valuations for instruments consisting of multiple
underlyings through joint calibration, and incorporating
multiple stochastic processes.
Our joint calibration process provides more accurate
calibrations of the entire option set by taking into
account the effects of model components.
“It was clear that Numerix was the
only solution available that met all
of our requirements. Numerix provided
Numerix Model Calibration
•
Many choices per model
•
View/determine/examine quality of calibration
•
“Advanced Markovin projection” for hybrid
model calibration
•
Best practices for model calibration
the breadth and depth of independent
models we needed for FX exotics.”
—M
anaging Director, BlackRock Solutions®
NUMERIX CROSSASSET AND MODEL VALIDATION
Independent, Transparent, Trusted
To help institutions accelerate their operations Numerix
has developed analytics feature automated testing
for model validation, to ensure models have been
implemented properly, perform as expected providing
good hedges in all market conditions, and to understand
model behavior and limitations under extreme market
scenarios.
Standardized Testing
Whether your front office and risk department are
utilizing Numerix analytics or you are utilizing proprietary
models, Numerix CrossAsset provides the necessary
standardized tests to confirm model accuracy and
performance confirming both mathematical and financial
correctness of Numerix models.
Standardized tests for Mathematical Correctness that we
apply to our own models include:
•
A direct Comparison test for each model, method, with
a single payoff feature (e.g. barrier, early exercise, range
accrual), which aids Decomposition Testing of more
complex deals.
•
Limiting Cases of Identities for Payoff (e.g. Knock-in/
Knock-out) and for Model (e.g. Heston v. Black Sholes)
•
Smoothness Tests for Greeks
•
Calibration Round Trip Tests
•
Convergence and Convergence Rate Tests
Additionally, tests for the performance of the model’s
hedges can be run, either on Numerix models or on
proprietary models.
•
Calibration Stability Tests
•
Calibration Error Tests
•
P&L Attribution Tests
•
Variance of Hedged Portfolio Test
•
Cost of Hedging Test
Auditability
Any validation test can be serialized and exported into a
self-contained Numerix XML file that captures all model
inputs, including terms and conditions, market data,
model choice and calibration assumptions, calendars
and more. For those utilizing Numerix models in trading
and risk operations, once converted to XML, the model
can be ported throughout the institution for use within
any operations. Additionally models can be “rehydrated”
at any future date allowing users to audit and review
the model all without the need to reconstruct historical
pricing environments. The Numerix XML can also be
ported to any regulatory or audit agency if required.
“…The effective delivery of pricing and risk analytics within a firm represents a critical lifeblood to make better decisions—
that is recognized in most capital markets, insurance and investment firms. However, in our experience, the real hurdle
to clear for firms is to be able to deliver and maintain a cohesive analytics platform in the context of changing economics of
trading businesses with internal cost pressures, regulatory reforms and ongoing accounting demands.…”
—A
xel Pierron, Senior Vice President, Celent
STRUCTURE AND PRICE ANY TYPE OF DERIVATIVE OR STRUCTURED PRODUCT—
FROM VANILLAS TO EXOTICS
Structure and price any deal type with our infinitely flexible deal-structuring architecture. Whether using
“out-of-the-box” analytic pricers, PaymentStreams or our unique payoff scripting language—users can leverage
the most comprehensive cross-asset library of market-standard models and proprietary numerical methods.
Full Structuring Capabilities for Any Instrument Type
INSTRUMENT COMPLEXITY
Full Portfolio Coverage
Fixed Income/Exchange
Traded & Vanilla OTC
Instruments
Semi-exotic
OTC Derivatives
Exotic OTC &
Structured
Products
Analytic Pricers
PaymentStreams
Scripting
Analytic Pricers
Numerix offers hundreds of industry-standard, pre-defined templates and closed-form pricers that represent commonly
traded deals, using market-accepted models and pricing practices.
PaymentStreams
Many complexities can arise in over-the-counter derivatives, such as: introductory periods, adjustments in the
payoff formula, multiple termination conditions and contractual changes in terms (such as daycount basis). Numerix
PaymentStreams approach accounts for these types of variations in a very intuitive way, closely resembling a term sheet
and extending all of the flexibility of Numerix beyond quantitative developers.
Our PaymentStreams method of structuring also allows for advanced cashflow logging, giving the user detailed
information such as: fixing date, accrual start and end, payment date, daycount fraction, discount factor, expected coupon
rate, notional repayment—and even the implied fx forward rate, for each and every coupon period. This level of detail
enables a high level of transparency into the underlying analytics.
Scripting Capability
Users can also define any bespoke custom instrument—and keep on top of derivatives innovation using Numerix scripting
capabilities. For example, users can define a wide range of extremely complex instruments, including: equity baskets
(Himalayan options), performance options, basket knock-out options, in addition to structured loans and variable annuities.
RISK SCENARIO FRAMEWORK
Numerix introduced the Risk Scenario Framework
capability to enable financial institutions to automate
the modeling and pricing of portfolios of non-loan
securities and derivatives held by operations, such
as treasury departments and investment banking
subsidiaries—specifically for structuring custom greeks
and stress tests.
Numerix uses this stress testing framework to automate
the estimation of a portfolio’s value changes, gains,
and losses under circumstances that reflect different
scenarios required by a financial institution for stress
testing. A financial institution’s book of records is
the primary data set with which the Risk Scenario
Framework is integrated in order to perform scenariobased analyses and projections on all of the firm’s
positions.
Scenarios are built using a language-based scripting
tool that can be used by staff with a strong finance
background but minimal programming experience.
By combining the use of the Greeks, access to a financial
institution’s book of records, a library of market-tested
pricing & risk models, and scripting capabilities for
the creation of custom scenarios, the Risk Scenario
Framework can be used to model the performance
of a portfolio under a broad range of parameters and
assumptions.
A strength of the framework is the capability to easily
create customized shocks which can be used to build
firm-specific worst case scenarios. Users preparing to
roadmap their stress test capability should appreciate
the benefits of the capabilities within the Risk Scenario
Framework.
Solution Analysis
Risk Scenario Framework, Numerix’s stress testing
capability, can be used to calculate central difference
Greek sensitivities such as Interest Rate DV01, equity
delta, and vega sensitivities but can also be used to
create large scale scenario shocks.
•
A framework that allows Greeks and sensitivities
to be calculated across asset classes for any market
data environment
•
One report that has user-defined statistics that
can be calculated consistently across one or all
asset classes
•
The Greeks can be aggregated by asset class
•
Create your own market scenarios, risk and P/L
decomposition reports
Market Scenarios from Basic Building Blocks
Eurozone
Collapse
Futures
Shocks
Swaps
Shocks
Equity
Shocks
Vol
Shocks
Create customized market environments, which can be saved to your
library—or combine shocks to create bespoke market scenarios.
VALUATION & RISK REPORTING FRAMEWORK
Supporting Critical Trading and Risk Decisions
Terms &
Conditions
Reference
Data
MTM
Market Data
Counterparty
Data (CSAs,
netting sets)
P&L
Pricing Model
Numerical
Method
Cash Flows
Queries
Price
Greeks
• F
ixed Income/
Interest Rates
• Foreign Exchange
• Credit
Counterparty
Credit Risk
Market Risk
Greeks
Stress Tests
• Equity
• Inflation
PFE/CVA/DVA
• Commodities
• Volatility
FVA
• Life
Risk Scenario Framework
• Hybrids
Market
Factors
Collateral
Terms &
Agreements
Model
Parameters
Deal Terms &
Agreements
Incremental
PFE/CVA/DVA
VaR
Expected tail
loss/shortfall
FVA
Scenarios
Scripting
Outputs
Numerix CrossAsset
Real-Time
Inputs
Numerix CrossAsset’s valuation and risk reporting framework supports numerous kinds of pre- and post-trade pricing
and risk analyses, from mark-to-market valuations and Greeks, to Counterparty Credit Risk and Value at Risk,
to advanced stress testing and more. Analysis can be performed at the trade level, portfolio level, or counterparty level,
to help users make the most informed trading and risk management decisions possible. And to support time-sensitive
decisions, even the most advanced risk calculations can be performed in real-time by leveraging the high performance
computing power of Numerix CrossAsset Server.
NUMERIX CROSSASSET SERVER— FROM ONE POSITION TO ONE MILLION
For nearly two decades, financial services professionals around the world, as well as our strategic partners, have come
to rely on the Numerix CrossAsset Library and its sophisticated pricing and analytical tools. Numerix CrossAsset Server
(CAS) is a single source, cross-asset, enterprise platform that enhances these capabilities to provide portfolio-level
pricing, analytics, risk aggregation, simulation and optimization.
Numerix CrossAsset Server extends the rich features of the Numerix CrossAsset Library into an active, gridded server
platform both sell-side and buy-side firms can use to compute pre-trade pricing, Mark-to-Market(MTM), greeks,
sensitivities, cash-flows, and both market risk (all flavors of VaR) and counterparty risk (CVA, DVA, PFE, FVA) for all
enterprise requirements—from front office to compliance and regulatory reporting. CrossAsset Server leverages multiple
third-party middleware and related web service-based technology to deliver a scalable, high performance computing
environment that can be easily integrated with an organization’s existing trading platforms.
CrossAsset Server: Analytic Server as The Single Source of Truth
Access to Analytic Server via Enterprise Service Bus
Compute Cloud / Grid
Front Office
Middle Office
Rates
Desk
Commodities
Desk
FX
Desk
Credit
Desk
Interest
Rates
Commodities
FX
Credit
Position
Data
Back Office
Market
Data
Numerix
CrossAsset
Server
Enterprise Service Bus
General
Ledger
RDR / Client &
Settlement
P&L
Back Office
Risk
Reporting
FROM TRADING DESK TO ENTERPRISE RISK MANAGEMENT—
NUMERIX EASILY INTEGRATES WITHIN YOUR OPERATIONS
Whether on a single desktop, across different trading desks, or enterprise-wide—Numerix users are empowered to
structure trades in Excel and load them into a single CrossAsset Integration Layer Trade and Data Repository.
CrossAsset Integration: Trade Template Repository
Predefined & Custom Deal Templates
FX KO/KI
IR Swap
FX Option
Autocallable Note
CMS Spread Bermudan
TARN
Curve Management Templates
Cubic USD Curve
CrossAsset Integration Layer
Trade Repository
Smoothed JPY Curve
Internal Rate 3
How the CrossAsset Integration Layer (CAIL) Will Benefit Your Organization
The Numerix SDK includes CrossAsset Integration Layer
(CAIL)—a data-driven interface that empowers users and
partners to non-programmatically extend CrossAsset
with custom interfaces, new models and business logic.
The integration layer interface that enables Numerix
pricing and analytics to be consumed as a cloud-based
calculation node. This allows complex calculations for
valuations and risk to be scaled using cloud computing
resources such as Microsoft Windows Azure.
Using the Numerix SDK with the CrossAsset Integration
Layer, clients and partners can:
•
Leverage Numerix market-tested models and methods
in existing systems across the full trading and risk
lifecycle
•
Easily extend production platforms’ deal coverage
across asset classes, including exotics and structured
products
•
Employ consistent valuation methods across the
enterprise
•
Enable advanced risk analysis and reporting
•
Integrate a wide range of custom applications, such
as visualization and master data management tools
Numerix is the award winning, leading
independent analytics institution providing
cross-asset solutions for structuring,
pre-trade price discovery, trade capture,
valuation and portfolio management of
derivatives and structured products. Since
its inception in 1996, over 700 clients and 80
Overall #1Technology Vendor
#1 in Pricing and Analytics:
Cross-Asset
Credit
Foreign Exchange
Rates
#1 in Risk Management:
Market
Credit
partners across more than 25 countries have
come to rely on Numerix analytics for speed
and accuracy in valuing and managing the
most sophisticated financial instruments.
With offices in New York, Chicago, London,
Paris, Frankfurt, Milan, Stockholm, Tokyo,
Hong Kong, Singapore, Dubai, South Korea,
India and Australia, Numerix brings together
unparalleled expertise across all asset
classes and engineering disciplines.
Technology Innovation
of the Year
Numerix
For more information, contact [email protected].
Copyright © 2015 Numerix LLC. All rights reserved. Numerix, the Numerix logo, and CrossAsset are either
registered trademarks, or trademarks, of Numerix LLC in the United States and/or other countries.
®
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