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Solutions | Structured Credit Toolkit
Home > Solutions > Structured Credit Toolkit
With a variety of financial institutions trading in tailor made solutions; structured credit has emerged as a centre for creativity in capital markets. QP has been continuously engaging in developing analytics for supporting new and complex structures in credit markets. Our toolkit supports a detailed analysis of the most sophisticated structured credit products like synthetic and cash flow CDO’s and asset backed securities.

Products covered:
The structures that are currently supported are:-
  - Single name CDS - hazard rate calibration
  - Options on single name CD
  - Options on indices (iTraxx, CDX)
  - Constant Maturity & Constant Spread CDS
  - Credit Range Accrual Notes
  - Credit Lookbacks
  - Basket Default Swaps
  - Credit Lookbacks
  - Basket Default Swaps
  - STCDO’s
  - Leveraged super senior CDO’s
  - CLO
Our Monte Carlo engine helps us produce accurate pricing and first order hedges for the more exotic structured credit instruments like:
  - Forward starting CDO’s
  - CDO on CDO
  - Options on Tranches
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