Development of a Trade Generator for Transferring Positions of the Various Risk Components of Credit Trades into the Responsible Trade Departments

Kurzbeschreibung

Splitting up fixed rate credits into its various risk components (liquidity risk, interest rate risk) and the margin component of the sales trader.
Generation of interest rate swaps, Loan&Deposit Floating and Cashflow trades from the credit trade.
Integration of yield curves for refinance (bid/ask distinction)

Finanzbereiche

Trading Department,
Credit Department

Instrumente

Credits,
Interest Rate Swaps,
Money Market

Marktanbindung
Finanzbereich - Produkt

Front Office - Kondor+
Credit Department - Cashver
Credit Department - Marzipan

Produktanbieter - Produkt

Gillardon AG - Cashver,
Gillardon AG - Marzipan,
Thomson Reuters - Kondor+

Implementierungs Technologien

SQL,
Shell Scripts,
MQSeries,
Customised Windows

Kurzbeschreibung

Splitting up fixed rate credits into its various risk components (liquidity risk, interest rate risk) and the margin component of the sales trader.
Generation of interest rate swaps, Loan&Deposit Floating and Cashflow trades from the credit trade.
Integration of yield curves for refinance (bid/ask distinction)

Finanzbereiche

Trading Department,
Credit Department

Instrumente

Credits,
Interest Rate Swaps,
Money Market

Marktanbindung

Finanzbereich - Produkt

Front Office - Kondor+
Credit Department - Cashver
Credit Department - Marzipan

Produktanbieter - Produkt

Gillardon AG - Cashver,
Gillardon AG - Marzipan,
Thomson Reuters - Kondor+

Implementierungs Technologien

SQL,
Shell Scripts,
MQSeries,
Customised Windows