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Credit Derivatives and Pricing Models

Use the FINCAD Analytics Suite to make informed decisions with respect to your credit derivatives.  Credit coverage includes single and multi-name credit instruments, baskets, CDOs, indices, and options on credit instruments.

Utilities include derivation of implied default probability curves from bond prices, a rating transition matrix, calculation of default probability using Merton's model and interpolation/extrapolation of a probability curve.

Collateralized Debt Obligations (CDO) and Indices
  • CDO tranches (synthetic & standard)
  • CDO tranche cash flows
  • CDO tranche linked notes
  • CDS on indices
  • CDS index options
  • First loss CDS and CDO tranches
  • Credit Index basis adjustments
Credit Default Swaps (CDS)
  • Cash flows
  • Credit default swap (single asset)
  • Asset-backed security (ABS) CDS
  • Loan credit default swap (LCDS)
  • Options
  • Constant maturity default swap (CMDS)
Basket CDS
  • Cash flows
  • First-to-default, nth-to-default, n-out-of-m to default
  • Binary payoffs
  • Options
Cash Flow CDO's
  • Simulate waterfall
  • Notes can have the same or different payment frequencies
Other Credit
  • Recovery rate swap
  • Credit linked and rating sensitive notes
    • Fixed and / or floating
  • Asset swaps
  • Credit spread options, forwards
  • Total return swaps
    • Underlying bond can have user defined payment schedules
  • Recursion method for CDOs
  • Displaced diffusion model for CDS index options (Liu & Jackel)
  • Gaussian copula function model (Li)
  • Multi-period credit index model (Hull-White)
  • Base correlation mapping
  • Default probability curve generation from
    • Swap spreads
    • Bonds
    • Rating transition
    • Equities
  • Hazard rate curves
  • IMM date compliance / upfront payments for CDS
  • Greeks and risk sensitivities
  • Credit loss distribution calculations
  • Implied volatility
  • DVO1

Download a more detailed list of Credit Coverage (156 KB PDF)


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