Numerix Rolls Out Latest CrossAsset Release

Version 12.5 expands real-world modeling coverage.

steveo-hanlon
Steven O'Hanlon, CEO and president of Numerix

The new stochastic simulation framework will better position clients to meet regulatory requirements, according to the New York-based vendor. The HW2F RW model allows users to calibrate real-world correlations to historical time-series data.

The Cox-Ingersoll-Ross 2-factor (CIR 2F) real-world interest rate model allows more quantitative shortcuts, enabling faster computation of simple quantities. Real-world modelling is now available for commodity coverage, equity and FX.

"To ensure the most complete and comprehensive coverage for producing consistent risk-neutral and real-world economic scenarios, over the past several months we've focused on expanding our real-world modeling coverage," said Steven O'Hanlon, CEO and president of Numerix, in a statement. 

The developer's latest software update addresses real-world modeling challenges, adds Pawel Konieczny, vice president of insurance solutions in the client solutions group at Numerix.

"The guarantees insurance companies are selling, like rider's on variable annuities, behave like derivatives and have to be managed like derivatives," he says. "As such, leveraging a core set of real-world models within a stochastic modeling framework for things like economic capital and hedging is critical, especially when looking to generate nested stochastic simulations."

 

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