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DEVSTORY #14: Quantitative analysts rollout derivative pricing models globally to desktop pricers, ETRM, Accounting, and Risk systems in minutes not months
Roll out of enhanced pricing algorithms to price tail risk better, took three months to be deployed globally at a large trading firm. In the interim period, market makers, risk managers, and quants were using the new model. The mid-office was reporting off a nonvalidated model provided by the ETRM vendor. The back-office was generating…