StatPro upgrades asset pricing system
07 April 2011 | 3077 views | 0
StatPro Inc, is pleased to announce that their Complex Asset Pricing (CAP) service has achieved a major product milestone with the incorporation of traditional and liquidity risk numbers, clean and dirty pricing and greeks into the service.
StatPro's CAP service is a web based application that values a wide range of illiquid assets including hard to price fixed income instruments such as European ABS and MBS, Credit-Linked Notes, credit default swaps, interest rate swaps and a range of other OTC Derivative instruments. The independent valuation service also offers three levels of service for price challenge
Marking a major breakthrough in the development of StatPro's CAP asset pricing service, the enhanced version draws on StatPro's independent valuation data, which gives StatPro customers a transparent view of the numbers behind the models they build to create complex securities.
"The new compliance culture in asset management demands sophisticated but easy-to-use tools that support transparency and accuracy in pricing and risk data," said StatPro, Inc. CEO Andrew Peddar. "Launching the improved CAP service provides our back office clients with the tools and information that they need when valuing such complex assets. Our goal is to enable our clients, regardless of their investment strategy, to pursue diversification while remaining transparent and complying with evolving regulatory guidelines."
Defining risk exposure in a given day has historically been managed by sophisticated systems that require installation, maintenance and on-site expertise. The CAP service eliminates the need for costly, involved software implementation by integrating single asset level risk figures delivered through a web based tool - requiring very little installation time and maintenance.
The inclusion of both clean and dirty prices provides asset managers the ability to distinguish between capital earnings (coming from the clean price of a bond) and the interest earnings (coming from the coupon accruals) both for bonds and derivative instruments, providing a more holistic approach to valuation. Finally, by providing a full range of Greek information around a security helps StatPro clients to determine the sensitivity to market conditions, critical information for risk departments.