NumeriX and R2 Financial Technologies, today announced the availability of NxR2, the first solution of its kind designed to enable easier and more accurate pricing and valuation of the complete spectrum of cash and synthetic credit instruments. The application provides consistent valuation and risk analytics for credit products, which incorporate detailed information at the collateral level for credit derivatives and structured finance transactions.
In 2008, NumeriX and R2 made a conscious decision to combine their expertise in pricing analytics and risk management to develop the tools necessary to find transparency in an opaque market. As the credit markets continue to be mired in uncertainty, it is only through technological innovation that can connect best-of-breed data sources with advanced analytics that market participants will achieve the level of granularity and transparency needed to make more informed decisions about new investments and existing credit portfolios.
“The credit crisis has highlighted the need for transparency on the contents and structure of these complex securities, as well as for effective valuation and risk methodologies”, said Dr. Dan Rosen, CEO at R2. “Our vision is to provide packaged advanced analytics with detailed credit data, scenario capabilities, productivity and reporting tools, in order to perform reliable valuations, and understand the key underlying risks and concentrations in structured credit portfolios and strategies. This will allow business users to make better investment decisions and discriminate between securities, as well as manage their risk, and satisfy regulatory requirements.”
NxR2 is a Windows-based application allowing investors to gain a greater understanding of their portfolios. NxR2 provides full connectivity to the world-class data providers specializing in the credit markets: Bloomberg, Markit and Intex. By integrating Bloomberg and Markit’s pricing data alongside Intex’s deal libraries and cash-flow generation functionality, NumeriX has developed the most comprehensive and transparent valuation and risk analytic solution. In addition, its open interface and design allow the effective integration of other generic cash-flow libraries and credit data.
Capabilities and features of NxR2 include:
• Advanced pricing and risk analytics, including the detailed, integrated valuation of Cash and Synthetic CDOs and scenario generation, with the ability to set assumptions at the desired level of granularity.
• Immediate access to trade-ready information with complete instrument coverage including ABSs/RMBS/CMBS, cash CDOs (CLO, CBO, ABS CDO), synthetic CDOs and CDS Indices, bespoke CDOs, as well as single-name credit products, including CDSs, loans and bonds.
• Real-time pricing, cash-flow and exposure reports, as well as sensitivity analytics, enabling transparent and informed investment decisions.
• An effective work-flow and productivity tool to price and profile investment strategies, giving the buy-side comprehensive data management.
• Advanced pricing analytics powered by NumeriX 7.
“We recognized the lack of readily-available tools for traders to accurately price structured credit products,” said Steven R. O’Hanlon, President and Chief Operating Officer at NumeriX. “NxR2 brings greater understanding of the market for credit derivative products and structured finance by providing the tools to credit investors and dealers to more effectively manage the risk exposure of these products.”
Showing posts with label derivatives pricing. Show all posts
Showing posts with label derivatives pricing. Show all posts
Tuesday, 21 October 2008
Monday, 23 June 2008
SuperDerivatives
SuperDerivatives®, the benchmark for derivatives pricing and the leading provider of multi-asset front-office systems, risk management, revaluation and online options trading solutions, today launched the next generation of its trading platform for the foreign exchange (FX) market.
Answering the growing market demand from the buy side and sell side for greater FX derivatives complexity and more efficient workflows, the next generation platform integrates pricing discovery, marketing, reporting and on-line execution.
Market professionals using SuperDerivatives’ next generation FX platform in their growth strategy can now trade high margin, exotic structures - including those featuring 4th generation exotics - as easily and efficiently as vanilla FX options.
As is the case with all SuperDerivatives platforms, the next generation FX is web-based and operates in real-time for immediate implementation and scalability. It can easily integrate into any information and trading architecture, connecting various trading and sales desks, and interfacing with middle and back office systems seamlessly and efficiently - linking banks to their clients, reducing operational risk and facilitating faster trading.
SuperDerivatives’ next generation enhancements apply to practically all types of FX instruments, from spot and forwards right through to higher yield 3rd and 4th generation options and correlation structures including cross asset barriers, dual digitals and path dependent baskets. The platform coverage spans over 150 different instrument types on over 100 currency pairs, connecting a diverse community of counterparties across both developed and emerging markets.
“The FX derivatives market has evolved rapidly, while vanilla and first generation exotics have been commoditized and standardized, with corresponding shrinking margins. This year alone, over 10 new exotic structures were added to the market and have become popular,” said David Gershon, Chief Executive Officer, SuperDerivatives. “FX professionals are now looking for the ability to offer their clients the next generation of exotic FX options. We believe that our FX next generation functionality will further increase the volume of derivatives traded and contribute to the evolution of the market, acting as a catalyst for sustained growth.”
SuperDerivatives next generation FX highlights include:
Support for a wide array of FX options from vanillas to 4th generation exotics including multi-leg structures and correlation products such as path dependent basket structures, quanto options, cross-asset barriers and dual euro digitals
Sophisticated tools for structuring, marketing, branding & distribution - essential for dramatically improving sales desk productivity
Online execution and Request for Quote (RFQ) utility connect sales and trading desks together – and with clients - seamlessly and efficiently
Proprietary ‘Looking For Strategy’ solver, multi-language customizable Trade Idea Generator and Term Sheet Generator applications which produce professional, tailored proposals efficiently across a range of exotic and vanilla FX options
Reporting module provides multi-asset Value at Risk reports (VAR) plus reports for Net Asset Value (NAV), Portfolio Profit and Loss (P&L),and sensitivity spot-volatility which allows sales staff to easily provide value-add services to their clients
Online execution and improved post-trade portfolio management deliver deal capture, with an online blotter to capture all client deals and automated deal event management.
The next generation of SuperDerivatives FX is available immediately.
Answering the growing market demand from the buy side and sell side for greater FX derivatives complexity and more efficient workflows, the next generation platform integrates pricing discovery, marketing, reporting and on-line execution.
Market professionals using SuperDerivatives’ next generation FX platform in their growth strategy can now trade high margin, exotic structures - including those featuring 4th generation exotics - as easily and efficiently as vanilla FX options.
As is the case with all SuperDerivatives platforms, the next generation FX is web-based and operates in real-time for immediate implementation and scalability. It can easily integrate into any information and trading architecture, connecting various trading and sales desks, and interfacing with middle and back office systems seamlessly and efficiently - linking banks to their clients, reducing operational risk and facilitating faster trading.
SuperDerivatives’ next generation enhancements apply to practically all types of FX instruments, from spot and forwards right through to higher yield 3rd and 4th generation options and correlation structures including cross asset barriers, dual digitals and path dependent baskets. The platform coverage spans over 150 different instrument types on over 100 currency pairs, connecting a diverse community of counterparties across both developed and emerging markets.
“The FX derivatives market has evolved rapidly, while vanilla and first generation exotics have been commoditized and standardized, with corresponding shrinking margins. This year alone, over 10 new exotic structures were added to the market and have become popular,” said David Gershon, Chief Executive Officer, SuperDerivatives. “FX professionals are now looking for the ability to offer their clients the next generation of exotic FX options. We believe that our FX next generation functionality will further increase the volume of derivatives traded and contribute to the evolution of the market, acting as a catalyst for sustained growth.”
SuperDerivatives next generation FX highlights include:
Support for a wide array of FX options from vanillas to 4th generation exotics including multi-leg structures and correlation products such as path dependent basket structures, quanto options, cross-asset barriers and dual euro digitals
Sophisticated tools for structuring, marketing, branding & distribution - essential for dramatically improving sales desk productivity
Online execution and Request for Quote (RFQ) utility connect sales and trading desks together – and with clients - seamlessly and efficiently
Proprietary ‘Looking For Strategy’ solver, multi-language customizable Trade Idea Generator and Term Sheet Generator applications which produce professional, tailored proposals efficiently across a range of exotic and vanilla FX options
Reporting module provides multi-asset Value at Risk reports (VAR) plus reports for Net Asset Value (NAV), Portfolio Profit and Loss (P&L),and sensitivity spot-volatility which allows sales staff to easily provide value-add services to their clients
Online execution and improved post-trade portfolio management deliver deal capture, with an online blotter to capture all client deals and automated deal event management.
The next generation of SuperDerivatives FX is available immediately.
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