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