Waters Rankings 2013: Best Risk Analytics Provider — Numerix

Over the last two years, banks have struggled as they’ve looked to centralize their pricing libraries, says Denny Yu, risk product manager at Numerix. Typically, these banks will have three or four different ways of calculating the price of the same security or derivative, but that is no longer a viable model as they are looking to decrease both risk and cost. Yu says sell-side firms are using the Numerix engine for everything from pricing to calculating portfolio measures such as credit valuation adjustments.

“A lot of banks struggle with how to produce those simulated factors out to all horizons,” he says. “What we’re finding is as clients get comfortable using us for CVA, they start using us for replacing, or seamlessly integrating with their internal pricing models. Eventually, we see Numerix as a full replacement for internal analytics.”

Sell-side firms are using the Numerix engine for everything from pricing to calculating portfolio measures such as credit valuation adjustments.