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
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