Credit Derivatives

Suite’s Credit Analytics support single and multiple name credit derivatives for price discovery, post-trade valuation and risk management.

Credit Products supported include:

  • CDS (Credit Default Swaps)
  • CDO (Collateralized Debt Obligations)
  • Constant-Maturity Default Swaps
  • Cancelable CDS
  • European/Bermudan CDS Options
  • Options on Baskets of Credit Instruments
  • CDX Index, iTraxx, Tranches, etc.

Single name analytics are based on the construction of a term structure of default probabilities from market prices of CDS or BONDS (or a combination of both).

Multiple name credit analytics are supported with a semi-analytical or Monte Carlo pricing engine.