Credit Risk Management System
ProVision participated in the implementation of a Credit Risk Measurement and Management system. Team members applied leading-edge credit risk measurement methodologies and solved challenging systems integration and quantitative issues. This included modeling pricing functions for equities, commodities and credit derivatives. This project required research into the pricing functions and the building / testing of a system that calculated credit risk on various exotic credit derivative products. Technical environment consisted of UNIX, C++, Perl and Risk++ (Algorithmics Risk Object Library).