Search found 5 matches

by MTorrejon
January 7th, 2019, 11:50 pm
Forum: General Forum
Topic: Merton Credit Model: Pricing?
Replies: 5
Views: 18042

Re: Merton Credit Model: Pricing?

do you have any of the Kealhofer's papers?
by MTorrejon
November 7th, 2018, 4:27 pm
Forum: Programming and Software Forum
Topic: Julia in finance
Replies: 3
Views: 281

Julia in finance

Hi all
What do you think about this new programming language in quantitative finance particularly in classical quant finance i.e. derivatives pricing. Pros and cons vs C++/Python or other software as matlab. It is worth studying it?
by MTorrejon
August 29th, 2018, 4:25 pm
Forum: Programming and Software Forum
Topic: Calypso software
Replies: 0
Views: 294

Calypso software

Hi all
Is there any specialist working with the Calypso software.
Have you implemented implied derivatives curves (fully implied by derivatives i.e. short rates implied by the forward FX rate ). What about the multicurve framework in this software?
by MTorrejon
September 23rd, 2017, 9:33 pm
Forum: General Forum
Topic: Expected Loss Calculation
Replies: 7
Views: 1398

Re: Expected Loss Calculation

I would not recommend using CDS spreads since these give risk neutral PD that mostly overestmate the historical (real one) PD used for risk management calculations (modulo xva)
by MTorrejon
April 29th, 2017, 12:44 am
Forum: General Forum
Topic: pricing library/risk analytics system
Replies: 0
Views: 582

pricing library/risk analytics system

Hello Do you have an opinion about what product is better for market risk analytics Numerix, Fincad or others? Particularly for the calculation of xVAs and FRTB? What do you think about building a system using quantlib? Have you used ? Keep in mind that I am talking ...