Author Archives: Christine Mayer

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

CRZ Pricer Version 21.1.8

By | 18 October 2021

Common [Bug] Market Status lag of close market sets was based on last update instead of actual market date CR [New] Added modelling of stochastic intensity with CIR++ model (Extended Cox-Ingersoll-Ross). Allows efficient pricing of callable credit linked notes. [New] Added credit contingent payoffs to the payoff script [New] Added a smile chart for credit… Read More »

CRZ Pricer Version 21.1.5

By | 22 September 2021

Common [New] Added Solvency Capital Requirement portfolio view. In this first version, only the IR and Currency capital components are calculated [New] Added a scenario ‘Solvency RFR curve’ to view RFR curves with or without shocks [New] Added historical contribution of seasonality [New] On CCR Capital, added a Risk weight override method. In this case,… Read More »

CRZ Pricer Version 21.1.3

By | 23 August 2021

Common [New] Added a view to contribute manually caplet volatility from c&f straddle prices, wedges or volatilities [New] In the solver, it is now possible to solve simultaneously a strike and an amortization rate [New] In Contribution, added ‘None’ Data Provider to ensure that no real-time feed is applied by mistake [Bug] In Auto-refresh mode,… Read More »

CRZ Pricer Version 21.0.14

By | 12 July 2021

Common [New] Added a Relative Historical Shock scenario that applies the difference between two historical markets on the current market [New] Reduced significantly the size of the installer (from 83Mo to 50Mo) [Bug] Historical contribution from Bloomberg can now be much faster when few market data are contributed at the same time. It used to… Read More »

CRZ Pricer Version 21.0.9

By | 20 April 2021

Common [New] Added optimisation of initial margin in the deal pricing screen. [New] Incremental impact on XVA/IM/Capital as well as XVA/IM optimisation is now available on several deals in the Local Portfolio View. [New] Added the linear regression scenario. One defines scenarios on some reference market data, all other market data are shifted by applying… Read More »

CRZ Pricer Release 21.0.8

By | 30 March 2021

Common [New] Bond adjustment market data now accepts most common bond formats (e.g., ISIN, CUSIP) [New] Flat File now supports Bloomberg future option tickers (e.g., ISIN, CUSIP) [New] Automatically add bonds present in flat files if they don’t exist in the system [New] In bond adjustment market data contribution, one can now select the bonds… Read More »

CRZ Pricer Release 21.0.4

By | 2 March 2021

Common [New] Incremental Capital & Initial Margin is now available in deal booking screen together with the already existing Incremental XVA [New] Historical VaR can now be computed as a robust VaR (different calculation and effective confidence levels) and with non-overlapping scenarios (mean of VaR on non-overlapping sub-samples). It can also support shifted log volatilities… Read More »

CRZ Pricer Release 21.0.0

By | 15 February 2021

Common [New] Historical market data contribution now uses currency calendar by default [New] Historical contribution of market data: end user can now compare with existing market data when any and choose between existing or new data [New] Bond (idiosyncratic) market data: one can now choose to select only CTDs or bond future deliverables [New] It… Read More »

CRZ Pricer Release 20.2.11

By | 1 February 2021

Common [New] Server has been upgraded to gRPC for better performance and .NET 5 new features [New] Most deals can now be converted into a flat file row [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them. [New] Added user-defined counterparty shortcuts (in… Read More »

CRZ Pricer Release 20.2.8

By | 14 December 2020

Common [New] In Market Data Analysis, added a view that calculates historical term volatilities of any timeseries [New] In Market Data Analysis, added a view that calculates historical term covariance of any timeseries [New] Repo haircut can now be defined either as a haircut (convention changed) or an initial margin [New] Added a tool to… Read More »