MBRM - MB Risk Management

May 1998

Setting a new industry standard for accuracy, speed AND price

Mamdouh Barakat Risk Management (MBRM) are pleased to announce the launch of version 8.1 of their Convertible Bonds pricing and risk management system.

The system handles portfolios of Convertible Bonds with structured calls, puts and conversion schedules, non-stationery share/bond correlation, time dependent credit spreads, discrete and continuous dividends, cross-currency and multiple conversion ratio resets. The add-in can be linked with most real-time feeds to provide a dynamic analytical environment which continuously marks to market multi-currency portfolios, and thereby improves P&L and Risk monitoring.

New features in Version 8.1 include :

• DECS (Dividend Enhanced Common Stock / Debt Exchangeable for Common Stock) handled.
• Multiple "CHAIN" resetables handled. This is where there are multiple resets where the maximum or minimum reset price is a function of the previous reset which is currently unknown.
• Bonds can now be defined in terms of explicit cash flows, thereby enabling the analysis of irregular coupon bonds (including step ups, step downs and rollercoasters).
• Ability to price mandatory convertibles and warrants
• Ability to calculate the implied credit spread and the implied yield volatility from a convertible bond.
• Enhanced Dividend escrow handling
• The system now has 3 models implemented :
  
  1 factor trinomial tree - Equity only. A very fast pricing algorithm.
  • 1 factor trinomial No-Arbitrage lattice tree - Interest rate only (with mean reversion). This is a very efficient and easy way to price callable and putable bonds where there is no equity attached.
  • 2 factor model. Combines the Equity and interest rates into a 2-factor tree.

The add-in software is implemented as function calls in a Dynamic Link Library (DLL), thus assisting in the ease of use and integration into the user's analytical environment. They can therefore be called from Excel, Access, Visual Basic, C, C++, Fortran etc. This object-orientated building-block approach provides unequalled speed, cost-effectiveness and flexibility.

For further details, please contact our Sales Team

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