New credit derivatives calculator from GFI

Risk staff
01 Apr 2003

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New York-based inter-dealer broker GFI has launched its credit derivatives pricing tool, Fenics Credit. GFI partnered with risk management and derivatives modelling experts John Hull and Alan White to develop the tool.

Fenics Credit provides prices for credit default swaps, forward default swaps, options on default swaps and cancellable default swaps. Pricing algorithms and risk analysis tools enable users to analyse default swap price sensitivities and responses to changes in specific factors

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