IBOR Transition and its Impact
In recent years market data analysis requires an understanding of the IBOR based rates, their risk-free-rate (RFR) replacements and IBOR…
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How to onboard credit ratings: pros and cons
Credit ratings are coming up frequently in my conversations with our customers, so this week, I thought it would be…
Stop overspending on data requests!
It’s a problem that’s often overlooked, and it’s a costly one: spending far more on data requests than is truly…
Interpreting the Heston Model
The time-series of stock prices and the market-implied volatilities of stock prices are examples of market data that needs to…
Risk Factor Transformations in FRTB
Successful market data projects require an understanding of how market data will be transformed. This week’s note provides an overview…
Not enough data! Now what?
Over the last several weeks, I’ve been talking a lot about the various sources you can use to aggregate data…
Comparing Portfolio Climate Risk The Easy Way
There are volumes and volumes of company-level physical risk data being generated by numerous agencies, and the task for any…
The FRTB P&L Attribution Test
In market data projects, there is often a phase that requires importing and validating historical time series of market prices.…
A short history of interest rate models
This week’s note is about the central role that market data plays in the no-arbitrage valuation paradigm that emerged to…