Sophis adds credit derivatives pricing to risk platform

The latest release incorporates a new pricing model for credit default swaps (CDS)- the 'bootstrap' model. This model 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 enables it to measure risk for companies and their subsidiary entities.

The credit default swaps module also offers multi-currency credit curves. Risque users can shock CDS rates, default probabilities or recovery rates, and output results as sensitivities or hedge notional credit derivatives.

Sophis said a number of its clients are already using the CDS module, but declined to name them.

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