MWSA News

Wall Street Analytics, Inc. (WSA) has launched a new version of its sophisticated CDO platform, CDOnet, to meet the rigorous demands of customers who require the latest advanced techniques for the pricing and analysis of both cash-flow and synthetic CDOs in a single application.
As CDOs have evolved, so have their analysis methodologies. WSA has responded to this with the development of the following new high-level features for the cash-flow and synthetic CDO market:

• Student-T Copula
• Stochastic Recovery Rates
• Implied Probabilities of Default from Credit Default Swap (CDS) Spreads
• Calculation of "Deltas"
  

The upgraded version of CDOnet allows investors, asset managers and underwriters to better capture key metrics of CDOs such as tranche prices, losses given defaults (LGDs), and hedge ratios. Hence, the system adds a level of sophistication to the analysis of both cash-flow and synthetic CDOs that is not offered by other vendors.

"The new models reaffirm WSA's commitment to serve the growing needs of structured finance professionals for high-end analytics. We welcome the challenges that innovative structures pose to our clients and we are delighted to work side-by-side with them on complex solutions," said Martin Calles, a Senior Financial Engineer at WSA responsible for quantitative models.

Wall Street Analytics is a worldwide leader for providing sophisticated software products and services to the structured finance markets. The company provides products and support to more than 100 clients around the world including leading asset management firms, investment banks, trustees, and institutional investors. Its CDOnet, CDOcalc, Structured Finance Workstation, Bond Administration Workstation, ABScalc and Portfolio Management Workstation products are widely recognized for their unique abilities to support detailed analysis of the most sophisticated structured debt products including, collateralized debt obligations (CDOs), mortgage-backed securities (MBS) and asset-backed securities (ABS). Founded in 1987, the company serves the markets from its three main locations in New York, San Francisco and London. For more information on the Monte Carlo functionality or WSA's other products interested parties should visit the company's website at www.wsainc.com.