STCDO Pricing Engine: Single-tranche CDO pricing & risk engine

SciComp's STCDO Pricing Engine employs a Gaussian copula framework with stochastic recovery, semi-analytic or Monte Carlo methods, internal CDS calibration to extract the hazard rates from CDS quotes and a CDO calibration to extract base correlations from a standard credit index (e.g., DJ Itraxx). CUDA-enabled versions with accelerations of 20X to 30X for both the Monte Carlo and semi-analytic approaches are available.

Our STCDO Pricing Engine allows heterogeneous portfolio weights and distributions of recovery rates among credit names or a constant recovery approach.

Easily customizable, the STCDO Pricing Engine can be enhanced to support the modeling of bespoke STCDOs or any other modeling need or preference.

The STCDO Pricing Engine makes available for implementation a number of approaches for bespoke portfolio mapping of the base correlation including:

• Using the same BC curve as for the standard portfolio
• ATM method
• Probability matching method
• Tranche loss proportion method

The power of SciSTCDO

SciComp provides comprehensive analytical capabilities in one package:

• Both constant and stochastic recovery (Krekel, 2008) models are provided.
• Users may choose a semi-analytic (recursive algorithm adapted from Andersen, Sidenius and Basu (2003)) or a Monte Carlo approach for either recovery model.
• Two calibrations: extract survival probabilities and hazard rates from credit default swaps (CDS) quotes and CDO calibration to extract base correlations from a standard credit index.
• Outputs include: fair spread, mark-to-market, cash settlement amount and sensitivity to any model parameter (e.g., change in CDS spreads, interest rates, etc.).
• CUDA-enabled versions with accelerations of 20X to 30X for both the Monte Carlo and semi-analytic approaches are available.

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