Pricing Credit Derivatives
One size does not fit all. SciComp offers three types of solutions for pricing credit derivatives:
- The ultimate flexible coding solution, SciFinance® is a C/C++/CUDA source code generator for building derivatives pricing models in-house. Providing you full control over modeling decisions, SciFinance significantly reduces development time and costs.
- Our expert quantitative development staff at SciComp Consulting can
develop a wide variety of standard
or custom derivatives pricing models,
calibration routines and risk management tools that are tailored to your
requirements.
- STCDO Pricing Engine and CDS
Pricer are ready-to-use standalone credit
pricing products.
Credit derivative features
Pricing models for credit derivatives*
- Reduced form approaches
- Structural/Firm value approaches
- Multi factor models
- Implicit joint dependence
- Copulae in Monte Carlo
- Semi-analytic method of Andersen, Sidenius and Basu
- Large Pool Base Correlation
- Stochastic recovery models (MC and semi-analytic)
- Arbitrary user defined model
Credit derivatives pricing model calibration
Calibrators are available for credit derivatives pricing models.
Credit derivative model classes*
-
Single name
- Defaultable bonds/Options on defaultable bonds
- CDS/CDS options
- Credit linked notes
- American/Bermudan exercise
- Range accrual structure
- Credit spread options
- Exchange options
- Basket structures
- Nth to default options/swaps
- Cash/Synthectic CDOs
- CDO²
- CLOs
- STCDO
*partial, representative list
Get more information on credit derivative pricing models. Contact us >>
SciComp solution benefits for credit derivatives
SciFinance®
- No-hand coding, no-black boxes: Generates source code from concise, high-level model specifications. Not an inflexible set of library routines that offers imprecise or limited functionality.
- Comprehensive: Cross-asset support with hundreds of model specifications, easily modified through keywords.
- Latest techniques without the learning curve: Automatically generates GPU-enabled pricing model source code. No parallel computing or CUDA programming expertise is required.
- Customer-driven: Developed with the input of practitioners at top-tier financial institutions worldwide.
- Expertise: Our expert quant/developer staff has years of derivatives experience, developing pricing models for financial institutions around the globe.
- Ready-to-use or customized derivatives solutions: Comprehensive selection of ready-to-use pricing models and calibrators, any of which can be customized to meet your exact needs.
- Comprehensive derivatives model development:
- Design
- Implementation
- Testing
- Performance enhanced pricing models: GPU-enabled or OpenMP-compliant derivatives pricing models.