The floater market data base of the TASS Wertpapierhandelsbank is ideally suited as a data foundation for Monte Carlo simulation methods. Many databanks are not specific enough for the analysis of credit market segments, especially if they do not provide a reliable reflection of the floater market. As opposed to mostly inaccurate data, which has been based on the asset swap calculation of fixed coupon bonds, the Neutral Pricing System with 2,800 current floater prices from actual trading activities lends itself best to simulation scenarios.
In light of the financial crisis, stress testing has gained in importance. The integration of market data from TASS in your scenarios makes it easier to evaluate the effects of extreme risk factors in your portfolio. If for mixed portfolios only certain credit derivates are used as a calculation basis, for example fixed bonds, it is not possible to base a reliable scenario for the entire portfolio on this data. The Neutral Pricing System provides a reflection of the actual market sentiment.