Evaluation of Money Market Deals with Credit Spreads

Project Description

Fair Value Calculation for Money Market Deals via Credit Spreads:
- Counterparty Classification by Rating Classes
- Conception of Credit Spread Matrices via CDS Market Rates and Empirical Default Probabilities
- Mapping of Counterparty Ratings to Credit Spreads
- Building of Credit Spread Curves via Algebra from Swap Curves and Credit Spreads
- Evaluation Money Market Deals and Paper&CDs by Credit Spread Curves

Financial Department

Risk Controlling

Financial Instruments

MM,
Papers & CD

Market Interfaces

Thomson Reuters RMDS

Departments - Products

Front Office - Kondor+

Vendor - Involved Products

Misys - Kondor+

Technologies

Unix, SQL

Project Description

Fair Value Calculation for Money Market Deals via Credit Spreads:
- Counterparty Classification by Rating Classes
- Conception of Credit Spread Matrices via CDS Market Rates and Empirical Default Probabilities
- Mapping of Counterparty Ratings to Credit Spreads
- Building of Credit Spread Curves via Algebra from Swap Curves and Credit Spreads
- Evaluation Money Market Deals and Paper&CDs by Credit Spread Curves

Financial Department

Risk Controlling

Financial Instruments

MM,
Papers & CD

Market Interfaces

Thomson Reuters RMDS

Departments - Products

Front Office - Kondor+

Vendor - Involved Products

Misys - Kondor+

Technologies

Unix, SQL