Charlie Browne

Credit spreads are an important category of market data. They are used to indicate the level of default risk in…

Bond pricing is central to market data projects. When bond prices are not liquid, modeling and proxy approaches are required.…

Time series of market data are used to generate shocks in market risk systems. The impact of changes in rates…

Credit spreads of various types are loaded into market data systems. They are used primarily for onward publishing to valuation…

Historical time series data is central to market risk and FRTB use cases such as value-at-risk and expected shortfall. The…

A market data centralization project is often structured so that the rates that are used to build the yield curve…

In recent years market data analysis requires an understanding of the IBOR based rates, their risk-free-rate (RFR) replacements and IBOR…

The time-series of stock prices and the market-implied volatilities of stock prices are examples of market data that needs to…

Successful market data projects require an understanding of how market data will be transformed. This week’s note provides an overview…