Broadening
product diversity and the need for increased liquidity continue
to dominate the fixed income market. Financial institutions
now need access to fast and reliable trading systems that
can deal with current as well as future market trends. Lombard
Risk provides extensive fixed income pricing, trading and
risk management functionality via our Oberon and Firmament
applications.
At Lombard Risk we use one of two methods for valuing fixed
income products:
1) Traditional spread over treasuries / libor and the use
of risk adjusted curves. This method is used to value a very
wide range of traditional fixed income products.
2) Using default models embedded in CDS / Bond models. This
method is used to value loans and the more illiquid fixed
income products. |