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MTorrejon
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Joined: April 21st, 2016, 2:11 pm
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pricing library/risk analytics system

April 29th, 2017, 12:44 am

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 http://www.opensourcerisk.org/?
Keep in mind that I am talking about a medium regional bank without very complex derivatives (no exotics, mostly fixed income, IRS, CCS, FX options).
thanks