Morgan Stanley’s credit correlation model has been made available on Bloomberg today. The model can be used to price basket and single-tranche credit derivatives.The pricing model should make correlation trading more accessible to a wider range of investors, said Lisa Watkinson, head of structured credit product managementat Morgan Stanley in New York.
The standard Gaussian copula type model (Risk August 2004) allows up to 150 credit names to be input, and an implied correlation calculated “in a matter of seconds”, Watkinson told RiskNews.
Today’s launch is the culmination of around one year of collaboration between Morgan Stanley and Bloomberg.
More on Technology
Markup language could reduce high levels of operational risk
Sponsored feature: Northern Trust
Off-the-shelf energy trading and risk management (ETRM) systems are more popular than ever before, according to Energy Risk’s annual software survey. However, companies say they still require sig...
Structured Products Technology Rankings 2014
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.