NumeriX upgrades credit engine and toolkit

NumeriX upgrades credit engine and toolkit

New York-based NumeriX has upgraded its pricing and risk management packages, NumeriX Tools and NX Pricing & Risk Engine, to enable users to model, price and manage risk of credit products.

NumeriX's analytics toolkit enables firms to build their own customised applications and the credit engine is an off-the-shelf application for pricing and managing the risk of a broad range of credit products.

The NX Pricing & Risk Engine provides risk management on instruments ranging from single-name exotics to basket structures with multiple valuation models and sophisticated hybrid products. In addition, the system supports conventional waterfalls relevant for cash (CLO) and synthetic (CSO) CDOs.

Both products include 1-dimensional lognormal mean-reverting, 2-dimensional model to diffuse spreads and interest rates for basket structures and credit portfolios, quasi multi-period model, Copula function model, true multi-period model, CDO model, and semi-analytic limiting distribution model.

Dimitri Raevsky, managing director of credit, NumeriX says the software provides tools to empower users to easily structure and price new products as they come into the marketplace.

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