11 – 17 APRIL 2013
DATA
Numerix to enhance flagship analytics platform
Numerix, a New York-based derivatives pricing and risk software vendor, is planning enhancements to CrossAsset, its flagship analytics program, according to Andrey Itkin, senior vice president of quantitative development. Itkin said his team will spend the coming year focusing on improving both the speed and accuracy of the models used in the platform. One model that will soon be accessible is the Unspanned StochasticLocal Volatility (USLV) model developed by Itkin and Igor Halperin, executive director of model risk and development at JPMorgan and a professor at New York University, and featured in a recently released research paper authored by the two. The model was designed to provide a single model for pricing vanilla and exotic derivatives across asset classes by combining an unspanned stochastic volatility model with a local volatility model for more accurate results. “[USLV] gives you a way to compute your derivatives in a straightforward way,” Itkin said, adding use of the model could also result in better hedging. The researchers developed the model in response to demand from the industry for a model that would offer a single, cross-asset method for valuation of vanilla and exotic contracts. Itkin said his team is in the process of ironing out best practices related to implementation of the model in the CrossAsset platform. More broadly, Itkin said the main areas of focus for his team will be counterparty credit risk and credit valuation adjustment, he said. The group will work toward implementing the new functionalities in both CrossAsset and CrossAsset Server,
a real-time risk and pricing analysis calculation engine Numerix also offers. POST-TRADE
WSL POLL
NSCC to tap large members for supplemental liquidity
Some members of the National Securities Clearing Corp. may soon get requests for additional funds from the utility. NSCC is planning to start collecting the additional cash from members with the most trading activity in order to supplement its clearing fund, the utility said in a proposal submitted to the Securities and Exchange Commission. NSCC said it was submitting the proposal in light of its role as a central counterparty and its designation as a systemically important financial market utility. The new rules would require the NSCC’s 30 largest members (including groups of affiliated member firms) to contribute additional liquidity to the fund to cover the potential for default on regular trading days and during quarterly triple expiration days. NSCC would determine the 30 members by looking at historical activity within the utility and identifying the members with the greatest liquidity needs over a three-day settlement cycle. For determining supplemental deposits for regular trading activity, NSCC said it will look at activity during regular trading days over the last year to determine its peak liquidity need and then identify the 30 members with the highest peak exposure over the preceding six months. The peak liquidity need determined by NSCC will be allocated to those 30 members in proportion to exposure, it added, with the first calculation to coincide with the utility’s review of its
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credit facility. Subsequent calculations will take place every six months. Similarly, for supplemental deposits in support of trading activity during triple expiration periods, the utility said it will look at peak liquidity needs for the most recent the last two years during those periods and will look at peak exposure of its members for the same period to identify the top 30. That peak liquidity requirement will also be allocated in this instance, and NSCC said it would calculate this quarterly. If a member required to make a supplemental deposit has contributed to the utility’s committed credit facility that contribution will reduce its supplemental requirement, NSCC said. Obligations ascribed to a group of affiliated members would be allocated to the individual members of the group in proportion to risk.
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08/04/2013 16:53