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Swedbank Chooses Numerix CrossAsset for Structuring and Pricing Complex Derivatives & Model Validation

Numerix Selected for Transparent Pricing & Risk Analytics Framework and Model Library

Numerix, a provider of cross-asset analytics for derivatives valuations and risk management today announced that Swedbank, a leading bank in the Nordic and Baltic countries has selected Numerix CrossAsset for pricing complex structures and model validation. The Numerix CrossAsset analytics platform provides a framework for structuring, pricing and managing complex derivatives and structured products, allowing users to calculate prices and Greeks and perform scenario analysis using real-time data.

Selected for its flexible and transparent framework for structuring the exotic, illiquid deals, Numerix CrossAsset provides Swedbank with a unified valuation framework enabling further control and understanding of pricing and risk quantification. Numerix also supports Swedbank in its model validation and model comparison processes.

“Recognized in the market for its asset class coverage and market tested models, with Numerix Swedbank is able to confidently manage and report pricing and risk for complex structures,” said Mats Ihrlund, Chairman of the Valuation Steering Group of Swedbank. “By implementing Numerix analytics and utilizing its models and methods library we’re able to reduce operational risk and external valuation costs across the bank.”

With Numerix’s library of models and numerical methods, Swedbank can assess models from different systems to independently validate the pricing and risk sensitivity outputs, as well as make comparisons between different models to analyze how the outputs vary under different assumptions. Numerix CrossAsset also adds value for Product Control functions within Swedbank including improved workflow, faster time to market for new products and added internal control over valuation.

Regulatory Demands & Market Evolution Spur Numerix Innovation

Regulatory demands have increased pressure on derivative portfolio managers to establish accurate, timely and consistent pricing and risk measures enterprise-wide, facilitating the need for greater transparency, product control and a better understanding of how complex financial instruments are structured. Paramount to this process is assessing the quality of financial models being used and understanding the assumptions behind them.

“As the financial markets continue to evolve, it’s become clear that black box pricers are no longer accepted as the market standard. Though seemingly fast and simple, they remain opaque and locked down,” said Steve O’Hanlon, President and COO of Numerix. “Now faced with determining daily pricing and risk calculations, financial institutions can no longer afford to choose between speed and flexibility, they need a nimble solution that satisfies both requirements.”

Steve O’Hanlon continues: “Swedbank needed a powerful valuation tool for the most complex instruments and a solution that understood the substantial risk attached to these deals. Optimized to provide fast pricing and risk calculations for exotics, as well as vanillas, Numerix CrossAsset simplifies derivatives management workflow and gives users like Swedbank as much control as they want over the deal definition and valuation inputs at various levels of the process.”