UNIVCDRV - Universal Credit Derivatives Add-in
This new add-in prices Credit Default Swaps and Credit Default Options. A protection buyer pays a regular (or one-off) fee and in return, if there is a credit default, he receives a one-off compensation payment. The system can imply the default probabilities (or recovery rates) from traded credit default swaps and/or credit options. In addition, the add-in can revalue credit default swaps and/or credit options after they have been traded in order to calculate a theoretical P&L. This approach has many advantages over implying the default probabilities from bonds, including the fact that there may not be liquid publicly traded bonds issued by an issuer for all maturities (if at all), whereas the OTC credit derivatives market can trade credit default swaps and/or credit options for any issuer at any maturity. The credit derivatives market, being more specialised and focused than the underlying bond market, is also likely to be a more accurate estimator of default probabilities than the bond market.
Cost of UNIVCONV is US$ 799
Why not consider MBRM Comprehensive Combined Package : An inclusive package of our 18 main software packages for US$ 29,999 (This would be a massive saving of over US$ 24,300)
Source code and Multi-purchase discount also available.
CLICK HERE to see our product pages as one consolidated Acrobat PDF file
MBRM, MB RM, MB RISK MANAGEMENT, FSS, FINANCIAL SYSTEMS SOFTWARE, UNIVSWAP, UNIVERSAL SWAP ADD-IN, USA, UNIVEXOT, UNIVERSAL EXOTICS ADD-IN, UEA, UNIVOPT, UNIVERSAL OPTIONS ADD-IN, UOA, UNIVYLD, UNIVERSAL YIELD ADD-IN, UYA, UNIVZERO, UNIVERSAL ZERO ADD-IN, UZA, UNIVINT, UNIVERSAL INTERPOLATING ADD-IN, UIA, UNIVGARCH, UNIVERSAL GARCH ADD-IN, UGA, UNIVCONV, UNIVERSAL CONVERTIBLES ADD-IN, UCA and UNIVERSAL
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