Tuesday, February 21, 2006

CDO2 - The flexibility of a spreadsheet, the power of an enterprise system

www.cdo2.com CDO2 is a provider of innovative pricing and risk technology for organisations trading structured credit products. The company was founded on the belief that all financial organisations should have access to the latest pricing models and enterprise technology, irrespective of their size or trading volume. Until now, such systems were expensive to buy and required the resources of large Investment Banks to properly deploy and maintain.

Our experience covers analytic techniques such as:

* semi-analytic methods for pricing CDO tranches and nth to default basket swaps
* efficient Monte Carlo methods for CDO Squared pricing and risk (one hour of CPU time is sufficient to produce credit spread deltas accurate to a few hundred dollars)
* grid-enabled parallel Monte Carlo simulations to produce CDO Squared pricing and deltas in minutes

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