Numerix Analytics

NUMERIX ANALYTICS is a Front-to-Risk Analytic Infrastructure built on Industry-Standard Pricing Models for Equity, Credit, Rates, FX, Fixed Income, Inflation, Commodities, Hybrids and Crypto.

It is available in several offerings to meet the requirements of our clients and partners:

• NxCore Analytics Services (NAS) is a scalable Analytics API for Valuation, Sensitivities, Curves, XVA, Greeks, Surfaces, PFE, Scenarios, VaR, Cubes, and ESG.
• NxCore Workspaces is an Integrated Development Environment for batch scaling, interactive scaling, and data sandbox. It gives access to NAS, market data integration, and the Front-to-Risk Application Suite (Oneview).
• Oneview is a Front-to-Risk application for Traders and Risk Managers for Valuation, Trading, XVA, and Market Risk.
• NxCore Python is an SDK that offers simplicity, transparency, and control.

VALUATION: Batch MTM (PV) calculation Batch Sensitivities Ad-hoc Single Trade Pricing / Valuation from UI Ad-hoc Portfolio / Bulk Pricing / Valuation from UI

MARKET RISK: Historical VaR Component VaR Stress Period HVaR Stress Testing Back Testing Sensitivities Initial Margin (SIMM)

FRTB Intra-Day/What-If Trades Risk Based PnL Other ad-hoc calculations

COUNTERPARTY RISK and XVA: PFE, EPE, ENE, EE by Counterparty or Netting set CVA, DVA, FVA by Counterparty or Netting set Impact of adding a new trade to the counterparty intraday What if stress scenarios report Risks and sensitivities report Capital

TRADING: Request for Quote Capabilities (RFQ) Connectivity to Multi-dealer Vendor Platforms Position/Risk Management Realtime Risk (Taylor series) External Price Publishing Lifecycle Event Management PnL Attribution Trading Scenarios Term Sheet Generation Electronic Trading System Integration Third-party System Integration Market Data all major vendor integration

KYNEX Core Analytics

Advanced Search: Dynamic browsing of convertible securities in the U.S. to help identify attractive investment opportunities by screening on valuation attributes of convertible as well as underlying stock fundamentals.

Flexible Hedge Calculator: Calculation of cash-flows by changing the convert position, stock position/hedge and financing/rebate rates. Specification of a horizon date to calculate the cash-flows to reflect holding period. Computation of capital requirements using either the broker-dealer rule or a custom flat rate. Cash-and-Carry calculations based on both financing rates for capital as well as zero cost of capital. Static Return calculations using finance cost for capital, zero cost for capital as well as including the estimated option decay.

Historical Analysis: Plot various convertible valuation attributes such as conversion premium, implied spread and volatility, cheapness, yield-to-put/maturity, price, parity, etc. Plot the historical valuation attributes on a time-scale as well as against stock prices as a distribution chart.

Horizon/Scenario Analysis for Hedged Investment: Estimate the projected P&L for a given convertible hedge position for various scenarios of stock price movements instantaneously as well as over a customizable horizon. Specify assumptions such as spread, volatility and cheapness for each scenario. Use Price-Tuning mechanism to specify other ways to estimate the convertible price such as point-premium, premium-over-investment-value, etc.

New Issue Pricing: The structuring tool allows you to quickly price a potential new issue convertible security which captures all nuances of the convertible market in an easy to use interface.

Horizon/Scenario Analysis for Outright Investment: Estimate the projected reward/risk profile of a convertible for various scenarios of stock price movements over a customizable horizon. Start with generic matrix of the spread and cheapness dynamics for various scenarios. Fine-tune the assumptions such as spread, volatility and cheapness for each scenario.

KYNEX Comprehensive Portfolio Maintenance and Analytics

Core Analytics, PLUS:

Portfolio Maintenance Portfolio Analysis Portfolio Stress Tests Standard Reports KYNEX Trade Entry (Comprehensive OMS with P&L Analysis)

Core Analytics & Comprehensive Portfolio Maintenance and Analytics, PLUS:

Seamless Navigation Intuitive Ticket Entry Integration with Execution Platforms Shareable Indications Database with Dollar Neutral Calculations Commission Analysis P&L Analysis Back-Office integration