News Briefs

SciComp releases enhanced CDO pricing engine

SciComp, the Austin, TX-based provider of derivatives trading technology, has released SciSTCDO version 2.0, a pricing and risk engine for single-tranche collateralised debt obligations (CDOs). Enhancements include implementation of base correlations within the Large Pool Gaussian Copula Model (Large Pool model) and additional calibration functionality.

The enhancements complement SciSTCDO's existing Monte Carlo method and what the vendor calls a

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: