Paris-based Sophis today announced further enhancements to RISQUE, its portfolio and risk management application for investment banks. It will now offer a Credit Derivatives capability.
Sophis, which started integrating Credit Default Swaps into its solutions two years ago, today offers risk management, hedging, consistent pricing, and processing across a wide range of credit-based products. Several Sophis clients are already using the Credit Default Swaps module.
The latest release of RISQUE incorporates a new pricing model for Credit Default Swap (CDS) – the Bootstrap model. The Bootstrap model fully inverts the CDS rate curve to obtain the term structure of default probability. It also includes historical and stress-testing Value at Risk calculations for CDS, and credit risk multi-currency management, which enable it to measure risk not only for companies as a whole but also across their subsidiary entities.
By launching this new version of RISQUE, Sophis completes its expertise in Credit Derivatives. RISQUE now offers a unified framework for the management of Credit Default Swaps and Baskets such as First-to-Default and Second-to-Default, as well as Asset Swaps, Total return Swaps and other credit hedging instruments.
The Credit Default Swaps module offers highly flexible multi-currency credit curves. Various scenarios allow traders and analysts to visualise credit risk on a series of positions or on a whole portfolio. Risk simulations are based on a split by issuer and by maturity. RISQUE users can shock CDS rates, default probabilities or recovery rates, and output results as sensitivities or hedge notional credit derivatives