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MBRM
MBRM - MB Risk Management
Warnford Court
Throgmorton Street
London EC2N 2AT
United Kingdom
Email:

Phone: +44 20-7628 2007
Fax: +44 20-7628 2008

The Universal Credit Derivatives 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.

For increased accuracy and functionality, Universal Credit Derivatives Add-in requires UNIVSWAP - Universal Swap Add-in. This is because the Universal Credit Derivatives Add-in internally calls UNIVSWAP for interpolation of yield curves and date calculations.

These advanced functions allow for more complex credit derivative analysis, including :

  • Fees can be paid in advance or in arrears
  • Different credit spreads for the Fee Receiver (Insurer) and the Fee Payer (Insured)
  • Amortization Schedule handles rollercoasters (i.e. irregular amortizations & accretion)
  • Increased flexibility in the definition of fee payment dates / payment cycles
  • Holidays taken into account for fee payment dates and amounts
  • Additional accrued types handled
  • Additional interest rate interpolation techniques for increased accuracy
  • Automatically links to UNIVSWAP currency sheets

UNIVSWAP - Universal Swap Add-in incorporates, at no extra charge, full copies of the following four Universal Add-ins :

  UNIVOPT - Universal Options Add-in
  UNIVEXOT - Universal Exotics Add-in
  UNIVYLD - Universal Yield Add-in
  UNIVINT - Universal Interpolating Add-in

Why not consider MBRM Comprehensive Combined Package : An inclusive package of our main software packages (This would be a massive saving on the individual selling price of these packages)

CLICK HERE to see our latest Price List.


Click the thumbnails below for screenshots of our sample spreadsheets:

Credit Default Swap / Option Equity-to-Credit (E2C) Model