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Credit Derivatives

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

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Credit Products supported include:

• CDS
• CLO
• CDO’s
• Single-tranche CDO’s
• CDO’s of CDO’s

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.