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Crédit Agricole Indosuez deploys Reech Capital derivatives script

07 April 2003  |  2153 views  |  0 Crédit Agricole Indosuez deploys Reech Capital derivatives script

Crédit Agricole Indosuez is to deploy London-based Reech Capital's proprietary derivatives script, automatic derivatives pricer (Adep), across its fixed-income exotic derivatives business.

Crédit Agricole Indosuez says it will will integrate the language with its own models, allowing for greater flexibility when creating new products and furthering the STP agenda at the bank.

The Adep system analyses the description of products, in plain English, and provides value and risk management parameters. The description can be read by any pricing model and numerical method and used in conjunction with market data and a pricing methodology to evaluate structures and trades.

When used on-line, Adep provides access to the vendor's in-house processing and market parameter database, enabling complex derivatives on any underlying market to be priced. The system has also been approved as an IBM ASP prime application.

Andrew Kellner, Crédit Agricole Indosuez, says the adoption and integration of the generic language will free up the bank's quantitative research team to concentrate solely on the quality of models and add real value to the growing business.

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