SciComp upgrades CDO pricing engine

February 22—Derivatives pricing software firm SciComp has launched the latest version of its pricing engine for single-tranche collateralised debt obligations (CDOs). The new version has a new tool for calculating base correlations using a so-called large pool Gaussian copula model. This model runs alongside two other existing pricing models within SciSTCDO: a Monte Carlo method and a semi-analytical model. SciComp says the choice of three models offers users “cross-checking capabilities” for

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At a webinar in association with capital markets technology provider Numerix, panellists discuss the potential for increased adoption of the public cloud to boost investment performance, its impact on risk management and overcoming barriers to…

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