Delta Suite

Credit Derivatives

Delta Hedge provides both buy-side and sell-side institutions with an integrated solution to price, hedge, trade and manage the risks of their Structured Finance exposures.

Specific activities enabled by the Delta Suite include:

Pricing a broad range of instruments:

Single-name Credit Derivatives (CDS, TRS, CSO, Constant maturity CDS, EDS, etc.)
Structured credit products (Cashflow CDO, synthetic CDO, CDO^2, Single-Tranche, etc.)
ABS/MBS/CMO
Exotic products (e.g. Islamic instruments)
Credit-linked structured products in general

Complete Risk Management of structured credit products: 2D/3D push-button simulations, stress tests and what-if scenarios using cutting-edge visual analysis methods
Easy definition of structured credit products in the system in just a few steps
Integrated real-time multidimensional position-keeping
Integrated real-time settlement module
Extensive prepayment analysis and simulations

Some of the strong points of the solution are:

Advanced numerical methods: Use the Delta Numerical Engine along with NumeriX (or other libraries) and with your own analytics
Easy definition of all kinds of structured credit products in the system thanks to Delta Hedge’s fully visual building-block approach
Easy visual definition of settlement processes and waterfall structures by the workflow approach
Structured credit products templates library
Full and easy consideration of fees, other transaction costs, and business rules
Supreme speed & performance thanks to real-time service-oriented architecture (RTSOA) and end-to-end Grid-Computing (Threaded MC, Grid MC)

Learn more about our innovations in our Credit Derivatives Whitepaper.