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 21.0.9

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into a flat file row [New] In Contribution, added a view ‘Check Historical Data Contribution’ to spot past market data out of date and contribute them.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 »

CRZ Pricer Release 20.2.5

By | 20 November 2020

Common [New] Added IM hVaR Risk Explained portfolio view [New] Added CVA – FRTB SA Risk Explained portfolio view [Bug] In noteworthy strikes views, max vanna strikes were biased [New] In ‘Add Deals from flat file’ views Improved error feedback. Also improved robustness when inputs are slightly incorrect [Bug] In ‘Add Deals from flat file’… Read More »

CRZ Pricer Release 20.2.3

By | 21 October 2020

Common [New] Improved MVA and KVA mr calculations by taking into account skewness and kurtosis of the netting sets [New] Improved accuracy of callable products through a better choice of regression vectors [New] Added a Quick Launch button [New] Add a PV column as well as Total PV in Local Portfolio View [New] Added an… Read More »

CRZ Pricer Release 20.1.4

By | 26 September 2020

Common [New] Payoff Script engine now supports XVA. [New] Client can now build his own Product Template in the extension module (C# code). The pricing is script based, some tools and examples are provided to help code such a template. [New] It is now possible in the historical data chart to add portfolio-based time series,… Read More »

CRZ Pricer Release 20.1.1

By | 27 July 2020

Common [New] Added full precision mode in Pivot Table [New] FXs are now always displayed with a precision of 1/10 pip [New] Replaced ‘World Trading Data’ feed with ‘Market Stack’ feed [New] Added Monte-Carlo standard error as pricing measure [New] In Leg detailed results, it is now possible to specify a currency for flow results… Read More »