Numerix Releases Server Version of CrossAsset

Driven by compliance desires, the vendor says a large Asian bank began to implement CAS in the fall of 2012, to run valuations on over 40,000 exotic foreign exchange (FX) options and vanillas, in addition to calculating pre-trade limits and potential future exposure (PFE). With CAS, 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 the tool's performance demonstrate the same scalability on portfolios comprised of over five million trades, claims Numerix.

"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," says Satyam Kancharla, chief strategy officer and SVP of the Numerix client solutions group. "However, this imposes an implementation problem for portfolio modeling and risk analytics, due to the distributed nature of the data required for analytics. 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, credit valuation adjustment (CVA) and value-at-risk (VaR)."

CAS is based upon the Numerix CrossAsset Integration Layer, which is a data-driven application programming interface (API) into a set of pre-defined templates of validated financial instrument definitions, models and curves. CAS utilizes open-source components and market-standard interfaces to make it adaptable to any client infrastructure. It can be consumed from standalone desktop installations for small hedge funds to enterprise-wide deployments at asset managers and banks.