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Credit Default Swaps

Genesis Trading Platform

Credit Default Swaps

The Credit Default Swap Manager provides the CDS trader or analyst with a complete tool for valuing new and existing CDS instruments, and tracking transactions and positions allowing institutions to more effectively manage credit risks.

The application facilitates the valuation of a CDS portfolio, and the monitoring of exposure to sovereign and corporate credit risk and to changes in interest rates. Many manually-intensive tasks such as the daily mark-to-market of a CDS portfolio and the generation of industry-standard confirms can be fully automated using the application.

Key Analytics

Instrument Pricing Calculations

  • Market Value
  • Replacement Spread
  • Spread DV01
  • IR DV01

What-if Analysis

  • Valuation Date Shift
  • Credit Curve Shift
  • Swap Curve Shift

 
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