CDOVaR.net is a unique pricing and risk platform designed for the middle office needs of the largest banks. It also satisfies the needs of hedge funds and investment managers trading structured credit products. By combining the established pricing and risk models of CDO˛ with extensive grid access from Sun Microsystems, we are able to provide an industrial strength pricing and risk system without the need for any new infrastructure in your organization. We offer seamless integration with Markit CDS, Indices and RED to facilitate automated trade upload with your existing systems.
CDOVaR.net Pricing – for trading and product control
Allows you to produce automatic daily revaluations of the entire structured credit book using independent models, CDS curves and correlations. Correlation mapping for bespoke tranches is based on automated market-standard techniques, freeing up resources and reducing operational risk.
CDOVaR.net Pricing allows prices to be produced using different scenarios for base correlation mapping, sometimes producing widely varying prices for bespoke tranches. Having access to the full spectrum of industry standard techniques for correlation mapping allows you to produce model reserve allocations with confidence
CDOVaR.net Risk – for trading and risk management
Builds upon CDOVaR.net Pricing to allow you to produce automatic daily risk reports. These can include entity level sensitivities, such as credit spread PV01 and Jump-to-Default risk, so that you can verify the effectiveness of dynamic hedges across the book. Custom stress scenarios can be configured to assess the effect of potential market movements or give a high-level view of portfolio gamma.
Risk managers can view risk in all aggregation levels from portfolio level all the way to a full drilldown of specific trades or reference entities. Risk and performance can be easily dissected and analyzed according to various criteria such as rating, sector, trade type and geography.
CDOVaR.net Capital – for risk management and compliance
Implements the UK Financial Services Authority (FSA) rules for calculating the position risk requirement (PRR) for credit derivatives in the trading book introduced in 2008 (BIPRU 7.11).
Calculation of the PRR for credit default swaps (BIPRU 7.11.26) and synthetic CDOs (BIPRU 7.11.39) is acomplished by running the comprehensive credit spread and correlation skew scenarios required to calculate the valuation change capital charge (BIPRU 7.11.27 and BIPRU 7.11.40) and combining this with the default capital charge (BIPRU 7.11.36 and BIPRU 7.11.48).
