CRZ Pricer Release 17.2.0

By | 6 May 2017

Pricing

  • [New] Added support of Wrong Way risk on CVA: a correlation between exposure and time of default is defined at credit curve level

Portfolio

  • [New] Added BA-CVA (FRTB) view
  • [New] Added Marginal Impact of Risk on FRTB-SBM view
  • [New] Added dynamic chart linked to pivot table
  • [Bug] FRTB-IMA marginal allocation was wrong

Contribution

  • [New] Monitoring of live market updates. Definition of rules (Tools > Market Status Rules) and real-time monitoring of these rules

Market Data Analysis

  • [New] Each view status is linked to the market status: A warning/error is triggered in case of out of date market data
  • [Bug] Underlyings were not always ordered in combo boxes

Miscellaneous

  • [New] Added macros: ability to define, execute and save complex tasks for Portfolio/Market/Contribution/Admin views
  • [New] Added the notion of (trading) desk for a deal. Was required for FRTB P&L attribution. It is a new key available in the pivot table for any portfolio view.
  • [New] Calendars now follow FpML convention (Ex: ‘EUTA’ for euro target instead of ‘EUR’)
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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