CR - Credit

Use the FINCAD Analytics Suite 2009 for Excel 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.

Highlights of Credit Coverage:

Download a more detailed list of Credit Coverage (637KB PDF)

Collateralized Debt Obligation (CDO) and Indices

CDO tranches

CDO tranche cash flows

CDO tranche linked notes

CDS on indices

CDS index options

First loss CDS and CDO tranches

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 vol

DVO1

 

Credit Default Swaps

Single asset

Baskets

ABS CDS

Loan CDS

Models

Recursion method for CDOs

Displaced diffusion model for CDS index options

Gaussian Copula function model

Multi-period Credit Index model