The Client's Requirements
The client, a global South African bank, who used Sungard Adaptive Analytics, a third party credit exposure system, needed to build
a IMM compliant back-testing system.
Our Solution
Using C# and IronPython and the R language we built a system, which created synthetic portfolios, calculated exposures and produced automated
back-testing reports.
The Client's Benefits
The client met the back-testing requirements under IMM.