Monthly Archives: April 2023

CRZ Pricer Version 23.0.5

By | 26 April 2023

Common [New] Added a hedge backtesting portfolio view. It allows to define a hedge strategy and examine empirically its effectiveness by computing the actual P&L over a historical window [New] In contribution window, added a dashboard for illiquid market data allowing bulk operations such as contribution or historical contribution [Bug] Fixed issue in Bloomberg Data… Read More »

CRZ Pricer Release 23.0.4

By | 19 April 2023

Common [New] In contribution view, added a view to detect outliers in historical market data (based on Z-Score) [New] Added a shortcut to open a risk-explained view when relevant (VaR/IM/Capital) [New] Added special treatment in hVaR on Bond  and Future adjustments to account for the fact that their contribution window may begin after the first… Read More »