SciComp Inc. released SciSTCDO version 2.0, a pricing and risk engine for single-tranche collateralized debt obligations, which implements base correlations within the Large Pool Model and additional calibration functionality.
The Large Pool Model values CDO structures that require a minimal amount of data. The newly released enhancements complement the existing analytic capabilities of SciSTCDO’s Monte Carlo method. The trio of pricing approaches is meant to provide users with alternative valuation methodologies and cross-checking capabilities for both prices and risk measures.
“SciSTCDO’s alternative pricing and calibration routines provide clients the modelling flexibility they need in the fast-changing world of structured credit products,” said Curt Randall, executive vice president for SciComp. “The Large Pool Model with base correlations is a commonly used, fast and transparent pricing approach that lets both buy side and sell side clients quickly perform consistency checks on market prices.”
The two new modules include the Base Correlation Calibrator, that calculates the implied correlation for the given tranche spreads, and the Base Correlation Pricer, a pricing and risk engine that calculates present value, implied spread and risky duration for both market observable and off-market tranches.