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by WhatsTheStory
January 13th, 2006, 9:25 am
Forum: Careers Forum
Topic: Commerzbank and credit derivatives
Replies: 2
Views: 123655

Commerzbank and credit derivatives

Not very strong anymore. They built up a team a few years ago and it has been subsequently dismantled. Was headed out of London by a guy I know (and members of his team). Not sure where Commerz is now on credit but I suspect it won't be terribly exciting...
by WhatsTheStory
November 22nd, 2005, 9:32 am
Forum: Programming and Software Forum
Topic: List of commercial pricing library ?
Replies: 7
Views: 130809

List of commercial pricing library ?

The best commercial:NumeriX : good for exotic IR / hybrids (coming up the curve on credit but still a way to go yet)Quantifi : niche credit analytics - v good & fastAs for the rest .... not a big fan
by WhatsTheStory
October 29th, 2004, 8:46 am
Forum: Programming and Software Forum
Topic: Calypso - Credit Derivatives
Replies: 4
Views: 173269

Calypso - Credit Derivatives

I don't think they are much good for structured credit. See latest edition of risk magazine and one of thier implementations says so!!
by WhatsTheStory
October 11th, 2004, 10:31 am
Forum: Programming and Software Forum
Topic: Jrisk info please
Replies: 59
Views: 178754

Jrisk info please

Citivp ... we did use JRisk for CDO^2 (in fact it can hadle all flavours of collateralization so could do CDO^n) and it does do P&L explain / decomp ... seems like you have some mis-info !!
by WhatsTheStory
October 8th, 2004, 1:36 pm
Forum: Programming and Software Forum
Topic: Jrisk info please
Replies: 59
Views: 178754

Jrisk info please

<t>I had some experience working with JRisk a while back. Their people certainly know their stuff. As for the technology its all pretty standard J2EE with app servers (weblogic I think?) so it is fast and scaleable. As for functionality they’ve built loads now so it seems a pretty impressive bit of ...
by WhatsTheStory
August 5th, 2004, 3:28 pm
Forum: Programming and Software Forum
Topic: Integrated front to back equity derivatives package
Replies: 25
Views: 186849

Integrated front to back equity derivatives package

<t>QuoteOriginally posted by: DavidJNNot that the issue is settled by any means, but could we please hear a bit more from people who have worked with some of the commercial derivatives products out there – Imagine, Sophis, Front Arena, Murex, JRisk, Calypso, Summit and others?Of the vendors you ment...
by WhatsTheStory
July 29th, 2004, 7:43 am
Forum: Programming and Software Forum
Topic: Integrated front to back equity derivatives package
Replies: 25
Views: 186849

Integrated front to back equity derivatives package

So what's the problem with Calypso? Why so much belly-aching?
by WhatsTheStory
July 29th, 2004, 7:42 am
Forum: Technical Forum
Topic: CDS historical data
Replies: 3
Views: 181529

CDS historical data

Bloomberg worth a visit