CRZ Pricer Release 19.2.6

By | 31 October 2019

Common

  • [New] For Historical VaR, added the ability define shocks and to specify them through from flat files. This is also available for capital measures requiring a value at risk: FRTB IMA, CVA IMM
  • [Bug] Add deals from files views were failing to start

FX/EQ/CO

  • [New] Equivalent notional / Portfolio replication is now available on smile risks
Category: Modelling Pricing

About Franck Albert

X-Pont (1994 promotion), Franck Albert is a former exotic options trader for HSBC in Paris and BNP Paribas in London. From January 2009 to April 2016, he has been head of the quantitative fixed income risk team at BNP Paribas London, before joining CRZ Pricing as co-founder.

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