|Pricing Partners Releases New Tools for ABS Valuation - Jan 10|
Pricing Partners Releases New Tools for ABS Valuation
Paris-London: Pricing Partners (www.pricingpartners.com), the independent valuation expert and a world leader in mathematical models and analytics for derivatives and structured products, announced today the release of several new tools for ABS valuation.
This announcement comes during a crucial time when the demand for independent valuation on ABS and similar non-liquid products is very strong. The recent crisis in the credit markets has called for independent valuation and analysis on ABS, MBS and similar products. Investors can no longer rely solely on rating indicators, as many triple-A ABSs have been trading at relatively low prices.
These valuation tools are strengthening the credit module of the Pricing Partners libraries, enabling to value similar or derived products like CDOs of ABS, RMBS, etc. Within this new framework, the user can take into account both the pre-payment risk and the default risk. The user will be able to mark its own assumptions and to use market data coming from traditional platforms like Intex or Bloomberg.
Marian Ciucă, head of quantitative research at Pricing Partners, precised: “First of all, the chosen amortization profile is calibrated in order to match the observed average life of the ABS bond. Then, using the ABS bond price we bootstrap the default intensity of the underlying, and imply the survival probabilities. We also offer to our clients the possibility to use the last model, publicly available, used by Fitch for their CDOs of ABS. Several other Factor Copula models, available in our Library, can be also used to valuate CDOs of ABS.”
Eric Benhamou, CEO of Pricing Partners and a former Goldman Sachs employee added: "The independent valuation of ABS and all related products has become a large concern for most of our customers due to the lack of information and transparency on this market. Pricing Partners libraries were already encompassing the description and the pricing of many asset classes. With this new framework, Pricing Partners strengthens its leading position in the independent valuation fields and now offers its customers the widest coverage in terms of financial products. "
Founded by former professionals of the trading floor, working in investment banks like Goldman Sachs, Société Générale, Natixis or HSBC, Pricing Partners has become a major player in the financial derivatives fields in the past two years. In October 2008, Pricing Partners launched its Internet independent valuation platform, Price-it® Online, which affirms its leading place in financial modeling as well as an independent valuations provider. Designed for all major assets like Interest Rates, Equity, Inflation, Credit, Foreign Exchange, Commodities, and Life Insurance to Hybrid products, Price-it® comes either as a software tools or an Internet Platform, providing all the tools for the transparent valuation on structured products. Price-it® online uses cutting edge mathematical models together with a new language to describe the complexity of any structured products.
About Pricing Partners
Set up by former professionals of the trading industry, Pricing Partners offers accurate solutions for derivatives products valuation, pricing tools and risk analytics. Thanks to Price-it® online, a SaaS platform, Pricing Partners provides independent valuation from the vanilla to the most exotic financial products on most assets (Interest Rates, Fixed Income, Equity, Inflation, Credit, Foreign Exchange, Commodities, Life Insurance and Hybrid products). Pricing Partners develops and commercializes Price-it® Excel, an analytic and independent pricing library using a generic payoff language description which allows the pricing of virtually any financial derivatives. Price-it® also supports VaR, CVaR and the most common risk management tools. Pricing Partners is the only company completely mastering the chain of valuation, developing both its own pricing library and a valuation platform, which give its clients very accurate and reliable valuation as a result of its intrinsic knowledge of the pricing tools. Pricing Partners solutions can be used by investment banks, buy side firms, hedge funds, financial departments, trading rooms and audit firms.
Pricing Partners has also signed numerous partnerships to distribute its technology with leading institutions like NYSE Euronext (for its independent valuation service via Prime Source), Misys (for its pricing library integrated into Summit), Thomson Reuters (for its pricing library integrated into Kondor+ Structured Products), CMA, Fitch Solutions or Lexifi. It is a Microsoft IDEES partner, an IBM, Sun, Datasynapse and ActiveEon partner. Furthermore, it is a member of the grid research consortium GCPMF uniting BNP Paribas, Calyon, Ecole Centrale, EDF, ENPC, INRIA, Natixis, Misys, Pars VI University and Supelec and a global coordinator of the Credinext consortium, in collaboration with Prime Source, Lunalogic, Ecole Polytechnique, ENPC, University of Marne La Vallée and INRIA.
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