SciSTCDO: Single-tranche CDO pricing & risk engine

SciSTCDO is a standalone credit derivatives pricing, risk, calibration and implied correlation engine for single-tranche collateralized debt obligations (STCDO), including standardized tranched indices (e.g. DJ Itraxx, etc.).

SciSTCDO provides three pricing approaches: a broad, high performance Monte Carlo simulation method that employs a factor copula approach for handling exotic variations, a fast, specialized semi-analytic method utilizing a base correlation curve for a set of base tranches and the Large Pool Gaussian Copula Model (Large Pool Model) approach.

The power of SciSTCDO

SciComp provides unrivaled analytical capabilities in one package:

• Three calibrations: Credit default swaps (CDS) survival probabilities and hazard rates, a semi-analytic implied base correlation and the base correlation (Large Pool Model) approaches.
• Three pricing methodologies: Monte Carlo, semi-analytic method utilizing a base correlation curve and a Large Pool Model approaches.
• Multiple risk measures: Survival probabilities of underlying names for credit risk, implied fair spreads, calibrated base curve values, sensitivity to a change in CDS spreads or interest rates and risky duration.

Benefits

• Provides a complete, ready-to-use pricing and risk solution for STCDOs.
• Delivers a fast entry into the single-tranche CDO market.
• Can be used to cross-check in-house analytics.
• Benefits from a standard Microsoft Excel interface for ease-of-use.

SciFinance - Complete solution for pricing credit derivatives

Need a pricing solution for the full range of credit derivatives? (CDO, CDO squared, CDS, defaultable bonds, etc.) SciFinance automates coding and delivers source code (C/C++) for custom credit derivatives pricing and risk models. Read more