Sophis adds credit default swaps to Risque

Sophis adds credit default swaps to Risque

Sophis has added a credit default swaps (CDS) module to its flagship portfolio and risk management product, Risque.

The upgraded product incorporates the Bootstrap pricing model for CDS, which fully inverts the rate curve to obtain the term structure of default probability.

The module also provides multi-currency credit curves and scenarios to enable traders and analysts to visualise credit risk on a series of positions or on a whole portfolio.

Risque includes historical and stress-testing value at risk calculations for CDS, and credit risk multi-currency management to measure risk for companies across all subsidiaries.

Risk simulations are based on a split by issuer and by maturity and users can shock CDS rates, default probabilities or recovery rates and output results as sensitivities or hedge notional credit derivatives.

Sophis says several clients are already using the CDS module.

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