| Project Description | Fair Value Calculation for Money Market Deals via Credit Spreads: |
| Financial Department | Risk Controlling |
| Financial Instruments | MM, |
| Market Interfaces | Thomson Reuters RMDS |
| Departments - Products | Front Office - Kondor+ |
| Vendor - Involved Products | Misys - Kondor+ |
| Technologies | Unix, SQL |
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
Risk Controlling
MM,
Papers & CD
Thomson Reuters RMDS
Front Office - Kondor+
Misys - Kondor+
Unix, SQL
