Evaluation of Money Market Deals with Credit Spreads

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