Credit

Structure and Price Any Type of Credit Derivative

Numerix provides comprehensive coverage for any conceivable type of credit instrument, including bespoke structured deals, through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard credit models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

Credit Default Swaps/Swaptions
Asset Swaps
Credit Spread Options
Cancelable Asset Swaps
Total Return Swaps
Callable/Putable Corporate Bonds
Brady Bonds
Equity Default Swaps
Constant-Maturity CDS
Credit-Linked Notes
CDS Indices
Options on CDS Indices
Synthetic Single-Tranche CDOs
Cashflow CDOs
CDO–Squareds
Bespoke Tranches
Basket Default Swaps
LCDS
LCDX
Nth-to-Default Baskets
Bond/Loan Portfolios

Models and Methods*

Gaussian Copula Model with Optional Correlated/Stochastic Recovery
Student-T Copula Model
NIG Copula Model
Calibration of base correlations for various market conditions
Dynamic Credit Model (top-down approach)
Dynamic Credit Model for Pricing and Hedging Heterogeneous CDOs (bottom-up approach)
Advanced-Factor Models of Credit Baskets
Multi-period Simulation Models (Hull-White)
Hybrid Credit/IR models with Deterministic or Stochastic Components
Twisted Monte Carlo Simulations
Direct Grid Convolution
Fourier/Laplace Transform
Asymptotic Saddlepoint Methods
Credit Spread VaR for Credit Portfolios
Default VaR and Expected Shortfall for Credit Portfolios
Cox-Ingersoll-Ross Model**

* Not an exhaustive list
** CR CIR model will be available Q3 2012

Credit Solutions from Numerix

Numerix Portfolio (Credit Module)
Multi-user trade capture and risk reporting platform
Numerix CrossAsset (Credit Module)
Flexible pricing and risk analytics, available in Excel or APIs in C#, C++ or Java
Numerix Bloomberg Edition (Credit Module)
Daily MTM in Excel and BPS with turnkey Bloomberg data
Numerix LiquidAsset
Function-based pricing for liquid derivatives
NxR2 Structured Credit Solution
Price and profile credit strategies containing cash and synthetic instruments
Numerix CVA
Credit valuation adjustment for managing counterparty credit risk
Credit Trader
Easily capture, price and analyze credit strategies in Excel
Valuation Services
Fully documented independent valuations for complex credit portfolios
Numerix Partner Solutions
Leading trading and risk systems integrated with Numerix analytics