Equalt Alternative Asset Management, a subsidiary of French banking group Credit Agricole Indosuez, is using SunGard's Reech valuation technology to price its complex equity correlation products.
Equalt is using the Reech Automatic Derivatives Pricer (ADEP) within Excel to define its equity correlation products. Reech ADEP is a proprietary language that is used to describe financial products in plain English and provide the value and risk management parameters for the product.
The bank then uses the Reech Analytics Library (Real) to run Monte Carlo simulations, using market data and other information such as correlations.
Laurent Grisard, head of structured fund management at Equalt, says the bank ws looking for a flexible system to accommodate new products: "We wanted that new system to be easy to run and maintain. With Reech we can structure and price any new product in next to no time."
SunGard Trading and Risk acquired the pricing technology when it bought Reech Capital in June last year.