Valuation of floating rate notes with the Neutral Pricing System

Current and historical calculation of the Value at Risk

When calculating the market and spread risks of your portfolio using the Value at Risk concept, the Neutral Pricing System can provide the ideal market data for floating rate notes from actual turnovers. Evaluate the market price risk using prices and correlations that are available for all 2,800 bonds. Monitor the market price fluctuations of the relevant bonds over the length of the holding period in a separate portfolio. Analyze the credit risk of individual issuers. The Neutral Pricing System is the ideal supplement for the pricing of credit derivates in the scope of inter-market analysis.

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