Derivatives

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MANAGE COMPLEX SECURITIES WITH CONFIDENCE

Measuring risk is typically more complicated when working with derivatives. Whether you are managing CMOs, swaps or other transactions, we have the tools to help you measure prepayment timing, risk, value and liquidity. Our models and applications provide full documentation and robust evaluation of risk, when you require total understanding and transparency.
 

Our products help you:

  • Make better hedging, valuation and risk management decisions

  • Stress test with flexible tools

  • Evaluate complex securities

Tools you can use

LoanDynamics logoLoanDynamics is our proprietary prepayment, default and loss severity model which serves as the backbone for analyzing option-adjusted spreads, duration, convexity and other risk measurements. LoanDynamics helps clients measure holdings and identify arbitrage opportunities, as well as perform dependable valuations and scenario analyses.

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RiskProfiler logoRiskProfiler is our comprehensive valuation solution that integrates our LoanDynamics Model and OAS Subroutine into a single, flexible platform. It offers built-in reporting and parallel and distributed (cluster) computing, as well as a database in which to store positions and past performance.

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