Analytic Space

Credit derivatives pricing models

SciComp's industry standard credit derivative models include, but are not limited to:

• Reduced form models
  • Lognormal and local volatility + deterministic interest and hazard rates
  • Lognormal and local volatility + stochastic interest and hazard rates
  • Stochastic volatility + deterministic interest and hazard rates
• Structural models

Credit derivatives contract types

The partial, representative list below only hints at the infinite variety of contract features available with SciComp solutions. With SciFinance, customers can edit the provided specifications to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features. SciFinance users can also write specifications from scratch to develop completely customized models. SciComp Consulting customers can request any equity derivative model features they wish.

• Single name
  • Defaultable bonds/Options on defaultable bonds
  • CDS/CDS options
  • Credit linked notes (American/Bermudan exercise or Range accrual structure)
  • Credit spread options
  • Exchange options
• Basket structures
  • Nth to default options/swaps
  • Cash/Synthetic Collateralized Debt Obligations (CDOs)
  • CDO²
  • Collateralized Loan Obligations (CLOs)
  • Single-tranche CDOs (STCDO)