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
- 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)
