Credit Derivatives and Pricing Models

Use the FINCAD Analytics Suite to make informed decisions with respect to your credit derivatives.  Credit coverage includes single and multi-name credit instruments, baskets, CDOs, indices, and options on credit instruments.

Utilities include derivation of implied default probability curves from bond prices, a rating transition matrix, calculation of default probability using Merton's model and interpolation/extrapolation of a probability curve.

COLLATERALIZED DEBT OBLIGATION (CDO) AND INDICES
  • CDO tranches (synthetic & standard)
  • CDO tranche cash flows
  • CDO tranche linked notes
  • CDS on indices
  • CDS index options
  • First loss CDS and CDO tranches
  • Credit Index Basis Adjustments
CREDIT DEFAULT SWAPS (CDS)
  • Cash flows
  • Credit Default Swap (single asset)
  • Asset-Backed Security (ABS) CDS
  • Loan Credit Default Swap (LCDS)
  • Options
  • Constant Maturity Default Swap (CMDS)
BASKET CDS
  • Cash flows
  • First-to-default, nth-to-default, n-out-of-m to default
  • Binary payoffs
  • Options
CASH FLOW CDOS
  • Simulate waterfall
  • Notes can have the same or different payment frequencies
OTHER CREDIT
  • Recovery Rate swap
  • Credit linked and rating sensitive notes
    • Fixed and / or floating
  • Asset swaps
  • Credit spread options, forwards
  • Total return swaps
    • Underlying bond can have user defined payment schedules
MODELS
  • Recursion method for CDOs
  • Displaced diffusion model for CDS index options (Liu & Jackel)
  • Gaussian Copula function model (Li)
  • Multi-period Credit Index model (Hull-White)
UTILITIES
  • Base correlation mapping
  • Default probability curve generation from
    • Swap spreads
    • Bonds
    • Rating transition
    • Equities
  • Hazard rate curves
  • IMM date compliance / upfront payments for CDS
  • Greeks and risk sensitivities
  • Credit loss distribution calculations
  • Implied volatility
  • DVO1

Download a more detailed list of Credit Coverage (156 KB PDF)