Credit

SOLUTIONS

FINCAD solutions enable better investment and risk decisions, improve workflow efficiency and reduce operational risk.

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
Models
  • 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)
Utilities
  • 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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