|Pricing Partners Adds a Stochastic Rating Model to its Financial Library - Sep 2011|
Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuation, announced today that it added a stochastic rating model to its Price-it derivatives pricing library that enables to price ratings linked products.
Euro Medium Term Notes based on Rating have become more popular as ratings play a central role in the financial world and are easily understandable for investors. A typical structure is a note that pays a coupon that steps up if the rating of the underlying company falls below a certain rating. Using rating transition matrices, this model bootstraps transition densities and can be plugged within the generic platform to allow pricing accurately these rating dependent products.
Eric Benhamou, CEO of Pricing Partners comments: “We are committed to excellence to provide a solution on all asset classes. This new extended feature in our financial library consolidates our market position in the derivatives pricing area. We believe that Price-it Library would be the best solution for clients who look for the full spectrum of pricing models.”
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 with full transparency.
Pricing Partners delivers:
Pricing Partners offers cover commodity, credit, equity, fixed income, fx, funds, inflation, interest rates, life insurance and hybrids OTC products. They are widely adopted by investment banks, asset management firms, hedge funds, corporations, pension funds, fund administrators and audit firms.
Pricing Partners holds offices in Paris, London, Singapore and Hong Kong. Its solutions have been ranked number 1 in Pricing and Analytics by Structured Products Magazine in 2010.
Direct: +33 1 70 60 72 46
Fax: +33 1 70 60 72 31