Valuation of floating rate notes with the Neutral Pricing System

Credit risk management and consulting for the selection of sampling points

The calculation and analysis of credit spread products is, especially in phases of high market volatility and in connection with the implementation of the Markets in Financial Instruments Directive “Basel II”, extremely important. Within the scope of our consulting services we offer as part of a supplementary agreement the historical test data and time series and by request the corresponding sampling points on the single bond level. By the selection of issuers the size, market significance and diverse liquidity standards are analyzed. The FRN price histories must be available for more than 250 days.

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