NumeriX enhanced to support more complex credit products

US analytics company NumeriX has enhanced its core analytics toolkit and engine to meet demand from a rapidly evolving credit derivatives market. The modifications will allow users to model, price and manage the risk of a broad range of sophisticated credit products.

Dimitri Raevsky, managing director of credit at NumeriX, said practitioners in the market needed new software to keep up with product changes, particularly if they want to quickly and effectively structure and price a widening array of structured credit instruments.

NumeriX's analytics kit allows institutional users to develop customised applications. Its NX CR engine is an off-the-shelf software product for pricing and risk management of a broad range of credit products.

The company's newly enhanced engine allows risk management of instruments including single-name exotics, basket structures with multiple valuation models and sophisticated hybrid products. There is also support for conventional waterfalls for cash and synthetic collateralised debt obligations.

NumeriX uses both industry standard and proprietary models for its Credit Tools and NX CR Engine. Among these are one-dimensional lognormal mean-reverting models; two-dimensional models to diffuse spreads and interest rates for basket structures and credit portfolios; quasi multi-period models; copula function models; true multi-period models; CDO models; and semi-analytic limiting distribution models.

RiskNews reported a tie-up between NumeriX and UK data pricing service provider Mark-it Partners in February. That deal focused in part on developing CDO pricing services. Mark-it and NumeriX linked to identify suitable cross-asset correlation models.