Model Library

Reoch Credit provides cost effective “off-the-shelf” software for the valuation and risk management of standard credit derivatives. This software forms the basis of our independent valuation work though, typically, such work requires us to write further software to handle non-standard structures and options. Software - standard and bespoke - can be provided as a dll, xll, or source code, with or without an Excel front-end. The following is a brief describion the features of our standard software

The analytics package covers CDS, synthetic CDO, CDO squared and N’th-to-default products and includes the following functionality:

• Calibration to CDS or bond/loan market data [risk-neutral pricing] or to ratings [natural measure pricing]
• Valuation and sensitivities of single name CDS
• CDO pricing and sensitivities – by semi closed form & simulation
• Choice of correlation methodologies – tranche, base or a full matrix
• Implied tranche and base correlation from tranche premium
• Subordination level change on substitution (managed CDOs)

Excel based risk management system

• Allows the user to manage a small to medium numbers of structures - quickly and simply set up CDS, CDO and N2D trades, and calculate and view value and risk
• User definable portfolios or "books" of transactions
• Aggregation by name, currency, rating, industry group, and other buckets
• CDS Input Data Screening & Data Engineering

Data storage, price feeds, auditing, and upgrade paths

• Each day’s data can be stored in a readily accessible database allowing the user to easily roll-back to historic data and dates.
• The spreadsheets are also integrated with major pricing data feeds (subject to the user having appropriate licences) giving simple and rapid access to current price information.
• Additionally the spreadsheets are integrated with ClusterSeven’s products optionally providing a fully audited framework.
• The analytics package is integrated with CDO Software’s management systems providing a simple upgrade path for users who build a large portfolio of credit structures.