Sophis Strengthens Expertise In Credit Default Swaps

Sophis has made further enhancements to its flagship Portfolio and Risk Management Solution for Investment Banks, RISQUE. The platform now offers advanced credit derivatives capabilities. Sophis, which started integrating credit default swaps into its solutions two years ago, now offers risk management, hedging, consistent pricing and processing across a range of credit-based products. The latest release of RISQUE incorporates a new pricing model for credit default swaps (CDS) called the Bootstrap model. The Bootstrap model inverts the CDS rate curve to obtain the term structure of default probability. It also includes historical and stress-testing Value at Risk calculations for CDS, and credit risk multi-currency management.


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