Credit

We provide quantitative and qualitative research solutions, services and comprehensive coverage for any type of credit instruments, including the most complex structures. Our credit related services greatly benefited from in-house build comprehensive library of market-standard credit models and associated with them proprietary numerical methods as well as from the in-depth research within the credit related instruments and models.

Supported Products

  • Bonds
    • Brady Bonds
    • Callable/Putable Corporate Bonds
  • CDOs
    • Cashflow CDOs
    • Synthetic Single-Tranche CDOs
    • Bespoke Tranches
  • Indices
    • CDS Indices
    • LCDX
    • PPN on indices
  • Options
    • Credit Spread Options
    • Credit Default Swaptions
    • Options on CDS Indices
  • Portfolios and other securities
    • Bond/Loan Portfolios
    • CDO–Squareds
    • Credit-Linked Notes
  • Swaps
    • Asset Swaps
    • Basket Default Swaps
    • Cancelable Asset Swaps
    • Constant-Maturity CDS
    • Credit Default Swaps
    • Equity Default Swaps
    • LCDS
    • Nth-to-Default Baskets
    • Total Return Swaps

Models and Methods

  • Copula models: Gaussian copula, Student-T, NIG
  • Monte Carlo (MC), Quasi MC methods and variance reduction techniques
  • Semianalytic methods: Hull-White, Anderson, Fourier Transform, Normal proxy etc.
  • Base correlations framework and calibration methods: Tranche Loss Proportion etc.
  • Single and multifactor models, Dynamic credit model (top-down approach)
  • Hybrid Credit/IR models with Deterministic or Stochastic Components
  • Merton, Black-Cox, Kim-Sundaresan, Longstaff-Schwartz models
  • Credit-rating models, Markovian Models of Credit Migrations:  Jarrow-Lando-Turnbull etc.
  • Heath-Jarrow-Morton type of models, Hazard processes
  • Intensity-Based models, Cox-Ingersoll-Ross type of model