Julius Finance Announces Credit Derivatives Valuation Service

Service to use model fusion to determine what synthetic credit derivatives are worth.

The same week Merrill Lynch announced a $5.7 billion write-down on collateralized debt obligations, Julius Finance, a provider of analytics engines and services for evaluating credit derivatives, has launched a new valuation service for estimating the value and risk of such products.

The new service will price bespoke synthetic credit derivative obligations, CDO squared, CDO cubed, constant proportion portfolio insurance, constant proportion debt obligations and credit default swaps. The valuation service makes use of Julius Finance's research in model fusion, which prices such securities by taking account of all market available information through a unified credit model.


The service is designed to assist with bespoke valuation, risk management, catastrophic risk analysis, portfolio management, scenario analysis, structured/hybrid products and trading. It's meant to be used by credit traders, credit risk managers, auditors, legal professionals and controllers.


Julius also provides market driven tail risk estimates for credit default swap and corporate bond portfolio managers, and unique insights into monoline companies such as credit derivative product companies.


Source URL: http://www.wallstreetandtech.com/showArticle.jhtml?articleID=209901408
Publish Date: Aug 01, 2008