Too often rate risk measurement assumes that credit risk and liquidity risk are constant. Concurrently, credit risk measurement assumes that rate risk and liquidity risk are held constant. We offer fully integrated credit risk, market risk, asset & liability management, and performance measurement in a single software solution.
Flexible by design means clients can choose from a broad selection of tools and features. We offer reduced form and structural models, default probability estimation from current market prices and from historical default data bases, seven differnt yield curve smoothing methods, six different term structure models, three stochastic models and much more.