Numerix, the leading provider of cross-asset analytics for derivatives valuations and risk management, today announced a partnership agreement with Quartet FS, a leading provider of in-memory analytics technology.
This partnership is designed to support the instant analysis, aggregation and visualization of large volumes of complex and dynamic data for derivatives valuation, Market Risk and Counterparty Credit Risk calculations within Numerix's real-time enterprise analytics engine Numerix CrossAsset Server.
As a centralized calculation engine for real-time risk and pricing analysis, Numerix CrossAsset Server extends the rich features of Numerix CrossAsset - the widest commercially available library of market standard valuation and risk models - into a dedicated grid or cloud-based server platform that both buy-side and sell-side firms can use to compute pre-trade pricing, Mark-to-Market, Greeks, sensitivities, cashflows as well as Market Risk and Counterparty Credit Risk measures. In addition, a Python based Rapid Application Development (RAD) workbench supports development of bespoke analytics and reporting.
The Power of Continuous Aggregation for Real-time Risk Capabilities
Numerix CrossAsset Server will leverage Quartet FS's powerful in-memory analytical engine, ActivePivot, as a continuous aggregation tool to enable real-time visualization, what-if analysis and reporting capabilities for CrossAsset Server outputs. These outputs often include Mark-to-Market and Greeks reports as well as the slice and dice of Credit Valuation Adjustments (CVA), Potential Future Exposure (PFE) and Monte Carlo Value-at-Risk (MC VaR) with forthcoming capabilities for Incremental CVA/PFE, CVA Sensitivities, pre-trade limit checks and Initial Margin calculation. An instant view of CVA and its Sensitivities will allow users to hedge more effectively against credit exposure and anticipate the potential impact of any trade.
ActivePivot allows business users to extract meaningful information from large amounts of fast-moving data. Going beyond traditional BI or OLAP solutions which are bound by latency, ActivePivot provides real-time business intelligence for immediate decision making, when and where it is needed.
"We're excited to integrate ActivePivot into our workflow for CrossAsset Server, enabling the multi-dimensional analysis and continuous aggregation of complex sets of disparate scenario results to achieve real-time re-aggregation, visualization and data monitoring on the fly - including the drill-down, slice and dice of risk data and complex CVA computations," said Steven R. O'Hanlon, Chief Executive Officer & President of Numerix. "The ability to analyze and collaborate in real-time to make timely decisions based on user-defined rules and what-if analyses will empower traders and risk managers to compete effectively in today's volatile market and regulatory environment. This partnership is also an advantage, considering the ever growing complexity surrounding the management of intricate sets of analytics and rationalizing the cost of ownership."
"Regulatory pressures have forced firms to adapt and modify internal analytics reporting. ActivePivot represents the solution to an entirely new set of analytical problems - from risk management and credit monitoring, to position keeping and Big Data aggregation challenges," said Allen Whipple, Co-Founder and Managing Director of Quartet FS. "The power of CrossAsset Server enables the parallel calculation of risk and valuation metrics enterprise-wide. With ActivePivot it can now aggregate and display those outputs in a multi-dimensional layout, providing detailed analysis for margin, risk calculations and pre-trade assessment in milliseconds. This is a notable improvement given the hours it would normally take to produce these kinds of calculations."