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Numerix Unveils Latest Version of CrossAsset

steve-o-hanlon-numerix
Steve O'Hanlon, Numerix

Among the new functionality are risk techniques to accelerate the computation of exposures and credit value adjustment (CVA)/potential future exposure (PFE) for large portfolios of interest rate swaps, foreign exchange (FX) forwards and cross-currency swaps. There are new performance enhancements to improve CVA calculation time for portfolios of credit derivatives with the addition of the Cox-Ingersoll-Ross (CIR) Model for credit pricing and credit default swap valuation. Finally, PaymentStream Builder allows users to price any deal, streamlining the creation of 80 percent of the most commonly traded derivatives, reserving the power of scripting for bespoke structured products.

"Daily risk assessment across a portfolio needs models that not only preserve the distribution of prices, but also are efficient to compute," says Tom Davis, VP of client solutions. "In CrossAsset 10.2 this was our focus - empowering clients with the applicable coverage and advanced functionality needed to respond quickly and efficiently to the evolving regulatory and market environment."

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