Independant Valuations, Quantitative Consulting & Expert Witness Work

Reoch Credit provides independent valuation of credit derivatives, structures and securitisations. We work with third party data vendors and can source or engineer data for valuations as required.

Recent quantitative projects have included the following.

• development of bespoke software for a client with a unique product type
• model validation of an in-house corporate model checking mathematical consistency and reasonableness, accuracy, completeness, robustness, speed and functionality
• valuation of a complex CDO squared with an embedded call option
• valuation of an illiquid note (expert witness)
• incorporating a valuation library into a clients in-house management software
• bespoke software for the analysis of simple and structured Life Settlement pools
• model validation of a securitisation (expert witness)
• assisting a hedge fund in the development of it in-house valuation models