Numerix Webinar: Model Validation Case Studies – Using Automated Model Tests to Improve Derivative Pricing Models

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Join Numerix on Wednesday, May 7th at 10 am EDT for a Webinar Exploring Automated Model Testing

New York, NY – May 1, 2014 – Numerix (www.numerix.com), the leading provider of cross-asset analytics for derivatives valuations and risk management, will host a complimentary webinar on Wednesday, May 7th at 10 AM EDT where featured speaker Dr. David Eliezer, Vice President and Head of Model Validation at Numerix, will discuss how practitioners can utilize a variety of automated model tests to uncover and then fix problems with their models, using several case studies to illustrate examples of the tests.

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The validation of derivative pricing models can be a slow, labor intensive and expensive exercise. Furthermore, it often provides a limited amount of certainty on the correctness of the pricing models, because methods for validating pricing models are often generic methods that can be applied to any kind of software. In other words, they do not take advantage of our knowledge of the nature of the problem, and the special features in it.

 

Since pricing models are mathematical models, they satisfy mathematical identities which can provide strong tests that leave very little possibility for error. Furthermore, these tests provide failure conditions that require no human judgment, that can be automated, and that can therefore run over tens of thousands of test scenarios. Significant advances in computing power such as the cloud and grid computing now make automated testing more accessible to market practitioners, making the testing inexpensive, rapid, and easy.

 

This results in a faster time-to-market for validating models, and a stronger case can be made to regulators that models are not only thoroughly tested, but that the models are really, truly RIGHT.

Dr. Eliezer will cover:

•    Rationale for automated model testing

•    Overview of four automated model tests

     o    PDE test

     o    Greek smoothness test

     o    Calibration round trip test

     o    Hedge performance test

•    Case studies delving into each of the tests

     o    Rationale for test

     o    Test methodology

     o    Example

     o    Problems, implications, and fixing the models

Attendance is complimentary, Registration is required. REGISTER NOW

Featured Numerix Speakers:

David Eliezer, PhD, Vice President, Head of Model Validation

David Eliezer has been a quant on Wall Street for 18 years, at Goldman Sachs, Morgan Stanley, General Re Financial Products, and Bloomberg, among others. He has published work on option pricing, and on modeling liquidity in finance. He runs the internal testbed for Numerix models, and he leads the Model Validation group at Numerix.

About Numerix

Numerix is the award winning, leading independent analytics institution providing cross-asset solutions for structuring, pre-trade price discovery, trade capture, valuation and portfolio management of derivatives and structured products. Since its inception in 1996, over 700 clients and 80 partners across more than 25 countries have come to rely on Numerix analytics for speed and accuracy in valuing and managing the most sophisticated financial instruments. With offices in New York, Sao Paulo, London, Paris, Frankfurt, Milan, Stockholm, Tokyo, Hong Kong, Singapore, Dubai, South Korea, India and Australia, Numerix brings together unparalleled expertise across all asset classes and engineering disciplines. For more information please visit www.numerix.com.

Emily Ahearn

Director of Public Relations

Phone 646 898 1294

Email: eahearn@numerix.com

 

News Source : Numerix Webinar: Model Validation Case Studies – Using Automated Model Tests to Improve Derivative Pricing Models
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