Numerix Introduces CrossAsset Server: Analytics Engine for Real-Time Derivatives Valuation, Market Risk & Counterparty Risk

  Numerix Introduces CrossAsset Server: Analytics Engine for Real-Time
  Derivatives Valuation, Market Risk & Counterparty Risk Calculations

Flexibility for Front Office & Risk, Transparency for Management, Performance
                              for the Enterprise

Business Wire

NEW YORK -- March 5, 2013

Numerix (www.numerix.com), the leading provider of cross-asset analytics for
derivatives valuations and risk management, today announced its latest
innovation – Numerix CrossAsset Server (CAS). Numerix CrossAsset Server
extends the rich features of Numerix CrossAsset – the widest commercially
available library of market standard valuation and risk models – into an
in-memory, gridded server platform that both sell-side and buy-side firms can
use to compute pre-trade pricing, Mark-to-Market, Greeks, sensitivities,
cashflows as well as Market Risk and Counterparty Credit Risk measures.

Implementation of best practices in terms of risk management and collateral
optimization continue to stress internal operations and IT infrastructures.
Not only is there a demand for real-time valuations and aggregate risk
analysis – especially in managing counterparty credit risk – but there are
significant requirements for efficient, consistent and transparent price
calculation, control and risk reporting. The Numerix CrossAsset suite provides
the flexibility for granular instrument design through to the real-time
calculation for revaluation and aggregated risk analysis that can be delivered
to every level of the organization.

“Over the past year we have continued to hear the same challenge from our
clients – we require the flexibility and transparency to define instruments,
curves and risk scenarios, but we need to scale the performance in real-time.
Flexibility is typically the Achilles heel to accelerated performance, when
you think about the terabytes of data that need to be generated for
revaluations and risk on a real-time basis,” said Steven R. O’Hanlon, Chief
Executive Officer & President of Numerix. “We took on this challenge and
through our CrossAsset Integration Layer and the CrossAsset Server; have been
able to preserve the flexibility that front office quants require while
meeting the performance benchmarks for traders and risk management
operations.”

Meeting the New Market Standard for Speed & Accuracy

Driven by regulatory compliance, a large well-known Asian bank and development
partner of Numerix began to implement CrossAsset Server in the Fall of 2012,
to run the valuations on over 40,000 exotic FX options and vanillas, in
addition to calculating pre-trade limits and Potential Future Exposure (PFE).
With Numerix CrossAsset Server, the bank achieved real-time pricing on its
entire portfolio of trades, half of which were exotic instruments requiring
hybrid modeling to capture the necessary risk parameters. Recent benchmarks
testing CrossAsset Server performance demonstrate the same scalability on
portfolios comprised of over five million trades.

“Increased regulatory pressure requires an enterprise perspective of risk
management and this impacts the valuation process, from vanillas to exotics as
well as hybrid cross-asset derivatives. However, this imposes an
implementation problem for portfolio modeling and risk analytics, due to the
distributed nature of the data required for analytics,” said Satyam Kancharla,
Chief Strategy Officer & SVP of the Numerix Client Solutions Group. “CAS
solves this problem by consuming data from multiple source systems and any
third party systems without imposing constraints on the data, a critical
requirement for large-scale derivative valuations and risk-related
calculations such as PFE, CVA and VaR.”

The Path to Standardization

CAS is based upon the Numerix CrossAsset Integration Layer which is a data
driven API into a set of pre-defined templates of validated financial
instrument definitions, models and curves. Custom templates can be easily and
independently defined via the Integration Layer, extending deal coverage
across asset classes. Through the rapid integration of new financial
instrument types or models and reuse of definitions across various technology
platforms, Numerix CrossAsset Integration Layer enables improved control over
model risk management and supports Product Control functions by allowing only
authorized individuals to edit and publish new financial instrument types and
models.

“Clearly we’ve been focused on flexibility and performance as we’ve moved
toward the introduction of CrossAsset Server, but the other key item in focus
was ‘time to market’. By focusing on a data driven approach, an institution
can deploy a new pricing model, standardized curve set-up or create bespoke
stress tests without adding new code or recompiling the software,” Kancharla
added. “Once the financial configuration work is complete, the solution can be
deployed within the CAS architecture in minutes.”

CrossAsset Server Architecture and Cloud Enablement

Numerix CrossAsset Server utilizes best of breed open source components and
market standard interfaces to make it adaptable to any client infrastructure.
CrossAsset Server can be consumed from standalone desktop installations for
small hedge funds that require fast pricing and vol surface creation for
options, to enterprise-wide deployments at asset management firms and banks.
Numerix CrossAsset server can also be run on internal grids or via public or
private clouds.

About Numerix

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 75
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, 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. For more information please visit
www.numerix.com.

Contact:

Numerix
Emily Ahearn, Director of Public Relations
Phone: 646-898-1294
Mobile: 646-373-9654
Email: eahearn@numerix.com
 
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