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| Counterparty Exposure Profile |
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Scope |
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Numerisk aims to provide services for entire spectrum of derivatives Products. |
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| :::.. 1. Derivative Products covered |
- Exchange traded futures / options
- FX Derivatives – vanilla, barrier, digital, digital with barrier, partial barrier, accrual and various structured products
- Interest Rate Derivatives – bond, bond options, cap/floor, floater/reverse floater, swap, swaption, range accrual, CMS spread range accrual and other Libor exotics
- Credit Derivatives – CDS, CDS options, NTD, CDO, CDO^2, LSS, CPPI
- Equity/Commodity Derivatives - vanilla, exotics
- Mortgage-Backed Securities – pass-through securities, cashflow waterfall, CMO, CLO
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| :::.. 2. Quantitative Development |
- Quantitative Models
- Multi-factor copula, base-correlation
- LMM, HJM, HW model, Stochastic Alpha Beta Rho (SABR) model
- Stochastic volatility, Mixed model
- Structured product analytics
- Pricing Techniques
- Monte Carlo
- Finite Difference
- Lattice methods (Binomial & Trinomial Tree)
- Back-testing/stress testing
- Strategy/model validation
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| :::.. 3. Risk Management |
- Linear instruments and options VaR, IVaR and CVaR
- Historical
- Monte Carlo
- Variance-Covariance
- RiskMetrics
- IMM/Corrigan – counterparty credit risk
- Model validation
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