Use FINCAD XL to make informed credit risk decisions. Utilities include derivation of implied default probability curves from bond prices or a rating transition matrix, calculation of default probability using Merton's model and interpolation/extrapolation of a probability curve.
Coverage
Credit Default Swaps:
• 1st-to-default, n-to-default, n-out-of-m defaults, all-to-default
• basket CDS, cash flows, & options
• CDS on indices
• CDS index options
• CDS on single names, cash flows, & options
• default swaps and binary default swaps on a single name or a basket with independent or correlated defaults
• greek and risk sensitivities
• underlying assets may be names, bonds or any type of payment such as loans or trade receivables
• upfront payments, IMM dates
CDOs
• bespoke tranche pricing & risk
• calibration of base correlation
• cash flow CDOs, given waterfall
• CDO notes, tranches
• monte carlo methods
• quasi-analytic methods (recursion, FFT)
• synthetic & standard CDOs
Credit Linked Notes
• credit linked notes (fixed or floating)
• credit linked notes par rates and spreads
Default Probability Estimation:
• from swap spreads
• from bond yield spreads
• from rating transition matrices
• using Merton’s model (using equities)
• calculate 1st-to-default probabilities
Utilities:
• cash flow functions for CDS
• credit loss distribution calculations
• default curve conversion utilities
• default curve interpolation
Other Credit Instruments:
• asset swaps
• credit spread options & forwards
• hazard rate curves
• rating sensitive notes
• total return swaps
Download a Datasheet on Credit Coverage (PDF)
Screenshot example of the Function Finder
