grips-dkf-20110329 (2) - IDS GmbH - Analysis and Reporting Services

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10 To develop a substantial IR universe, many different interest curve methodologies are needed Requirements: IR-Markets are very different in respect to liquidity, number of available prices per curve, homogeneity of curve benchmark members, etc. End users of the curves have different requirements: e.g. smooth curves for risk purposes and more fineness for valuation, extrapolation/ interpolation methods … 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% Source GRIPS / Bloomberg 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% AAA AA A Source GRIPS / Bloomberg 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 31 Our experience : Standard IR models are not functional in less liquid markets For less liquid markets GRIPS developed an approach that models the spread curve above a reference curve instead of the curve direct Standard models need enhancement to be stable © IDS GmbH – Analysis and Reporting Services 10
11 …this all adds up to a complex calculation framework… General Parameters Adjustments Extrapolation / Interpolation Types Curve Models © IDS GmbH – Analysis and Reporting Services 11
Page 1 and 2: Thorsten Becker Getting a GRIPS Glo
Page 3 and 4: 3 Observation 1: Markets become mor
Page 5 and 6: 5 Observation 3: The EUR Crisis cha
Page 7 and 8: 7 We can summarize the market obser
Page 9: 9 How is Allianz IDS enhancing its
Page 13 and 14: 13 In addition to this improvement,
Page 15 and 16: 15 Tullett Prebon Information provi
Page 17 and 18: 17 Conclusion The financial markets
Page 19 and 20: 19 For further information please c

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