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 Commodity

Credit

Equity

FX

Inflation

IR

Life

 Hybrid

 

 Pricing Partners' Credit Module provides you with a wide coverage of derivative products, pricing models and numerical methods. 

Models available

  • Single Name:
    • Deterministic Default Intensity Model
    • Schonbucher Stochastic Default Intensity Model
    • Log-Normal Spread Model
    • Stochastic Spread Model
  • Basket:
    • Gaussian Copula and other Copula models: Clayton, Student, Marshall-Olkin 1, Double-t
    • Local correlation Model
    • Calibration: Rescaling to CDO Tranches with base correlation method

Application to products includes :

  • CDS
  • ABS-CDS
  • CMCDS
  • Index CDS
  • Bespoke CDO Tranches (CDS, ABS)
  • CDO²

 

To learn more about Pricing Partners' exhaustive models and product examples, download the list of models.