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
-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.