CRZ Pricer Release 21.0.4

By | 2 March 2021


  • [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 for yield curves
  • [New] On historical contribution of market data, there is now a popup telling which market data failed to contribute
  • [Bug] Fixed a few issues that happened on LOCAL CLOSE when it is a root set


  • [New] EurexClearOTC Initial margin calculation now takes into account correlation break adjustment, liquidity margin as well as stressed var floor. A new view allows to see IM breakdown
  • [Bug] Historical bond contribution of par bonds could fail


  • [Bug] IR Vega and correlation risks could be wrong on long dated FX options (expiry exceeding last market data tenor)
Category: Modelling Pricing

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.

Leave a Reply

Your email address will not be published. Required fields are marked *