Numerix solution provides users with a powerful and highly scalable solution for pricing, valuation and risk management of complex derivatives portfolios
Numerix, a leading provider of cross-asset analytics for derivatives valuations and risk management, will announce at the 2010 SIFMA Financial Services Technology Expo in New York, its Numerix CrossAsset XL and Numerix Portfolio Products solution built on the latest release of Microsoft’s High Performance Computing (HPC) Server 2008 and Services for Excel 2010.
The newly announced solution enables Numerix CrossAsset XL and Numerix Portfolio users to take advantage the high-performance features of Windows HPC Server 2008 and HPC Services for Excel 2010 with the most powerful grid computing capabilities industry-wide. When coupled with the value of an integrated HPC solution, Numerix CrossAsset XL and Numerix Portfolio now provide Numerix’s clients with the improved systems productivity, interoperability and full transparency for deal definitions and accelerated real-time valuations and running of rapid unified risk calculations for complex derivative portfolios. The Numerix solution enables clients to run and distribute multiple instances of Excel based computations for entire portfolios and also enables an optimized, high level of performance for batch reporting, with scalability for even the largest jobs.
The functionality of Numerix Portfolio and the power of Windows HPC Server 2008 provide users with several high performance and flexible integration options. The Windows HPC Server 2008 Job Scheduler helps enable the simple integration of an institution’s clustered compute nodes. Users will benefit from the full integration for asynchronous queuing of report-generation jobs within Numerix Portfolio, with the option to use the Job Scheduler to execute those reports.
The integration of the Numerix solution with Windows HPC Server 2008 and HPC Services for Excel provides Numerix’s clients with the high-performance capabilities needed to manage the following enterprise-wide processes:
• Accelerated real-time calculations with grid computing capabilities and other methods
• Running multiple instances of Excel spreadsheets on the HPC Cluster
• Running and distributing Excel based computations for an entire portfolio
• Full transparency for deal definitions and valuations
• Comprehensive risk management capabilities, including VaR, stress testing, scenario analysis, MTM, the Greeks, and bespoke risk reports
• Consistent risk calculations for both hedges and underlying assets
• Advanced deal-structuring capabilities for any new instrument type, including custom payoff scripts
“We are extremely pleased to be able to offer this solution based on Microsoft’s platform to our clients,” said Steven R. O’Hanlon, president and coo of Numerix. “With the Numerix solution, we are able to provide our clients with the increased system performance, advanced workflow functionality and power of Excel they need for the pricing, valuation and risk management of derivatives. When coupled with the high-performance features of HPC Server and the flexibility and real-time capabilities of the HPC Services for Excel, our Numerix CrossAsset XL and Portfolio clients now have the increased computational firepower they need for pricing complex derivatives portfolios and bespoke deal types.”
“Through collaboration with Numerix, Microsoft is extending the reach of technical computing even further for financial institutions and insurance companies. Together, we are helping trading and risk operations and asset liability managers achieve more timely, efficient and advanced valuation and risk management for the industry’s most complex derivatives. The deep domain expertise of Numerix, coupled with Microsoft’s technical computing offerings such as Windows HPC Server 2008 and HPC Services for Excel 2010, brings a first rate solution to our capital markets customers” said Ben Narey, Director, U.S. Banking and Capital Markets Industry Solutions, Microsoft.
