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- W204938535 abstract "This paper considers a paradigm financial markets trades booking and valuation, data subscription and portfolio revaluation system. Traded instruments covered include: spot and forward exchange rates (FX); credit default swaps (CDS); total return swaps (TRS); commodity and bond futures; traded and OTC options on exchange rates, equities, market indices, futures, bonds and bond-futures; interest rate caps, floors and swaptions; floating rate, fixed rate, asset backed (ABS) and structured product bonds; interest-rate, cross-currency and exotic swaps. Market data covered include: spot and forward exchange rates and non-deliverable forwards (NDFs); credit default swap curves, spreads and recovery rates; equity prices and dividend rates; futures prices; actual and implied option-type volatilities, smiles and skew; implied correlations; historical price series; bond prices and reference spreads; Libor-type and bespoke fixings; swap curve, basis curve and Treasury and credit-adjusted yield curves. Operational and market risk reporting covered includes: data quality and completeness, P/L sensitivity analysis, BPV and interest rate risk, portfolio VaR and market risk scenarios; ISDA collateral revaluation and collateral call management. Revaluation methods considered include: market pricing, market quotation, benchmarking against reference instruments, analytic valuation and quant computational (e.g. Monte Carlo, trinomial tree)." @default.
- W204938535 created "2016-06-24" @default.
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- W204938535 date "2010-09-10" @default.
- W204938535 modified "2023-09-23" @default.
- W204938535 title "Financial Markets Portfolio Revaluation System" @default.
- W204938535 hasPublicationYear "2010" @default.
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