Client case for Natixis
VaR IRC
Location
Paris
Project's functional area
The service consists of drafting the documents and carrying out the studies and simulations necessary to respond to the regulator's recommendations on stressed VaR and IRC.
The service also covers additional studies on risk factors for VaR CVA (baskets of CDS credits).
The service also covers additional studies on risk factors for VaR CVA (baskets of CDS credits).
Technological environment
R, Matlab Unix/Linux, data base (Access, IT architectures)
Detailed description of the project
Econometric production for market VaR, IRC, CVA and EEPE.
The project requires ease with computer tools (unix/linux) and good skills in market data and statistics…
Functional environments:
- Sources of market data (Markit, Bloomberg…)
- Linear algebra, statistics and numerical calculation
- Credit derivative products (CDS, CDS index, CDS index tranches, CDS Nthloss, CDS NthToDefault, CDS of ABS, etc.)
Drawbacks and key success
Objective: Make quantitative analysis more reliable
Action: Brain storming for the production of the VaR
Result: Validation of models and implementation
Action: Brain storming for the production of the VaR
Result: Validation of models and implementation