March of the modellers: a guide to credit derivative pricing tools

London, 1 January 2006

Extracts from the special report, reproduced by permission from Creditflux

The vendors that are most frequently mentioned by dealers and investors as contenders in the portfolio credit swap space are CDO2, NumeriX, Quantifi Solutions, Reoch Consulting and Reech (part of Sungard).

Speed of calculation is an obvious area where CDO software vendors can look to differentiate themselves from the competition. Software vendor CDO2 has solved the problem of speed for less IT-empowered trading desks, by linking up with computer maker Sun Microsystems.

Kendall [at CDO2] says that getting the application up and running is a quick process. "We have arrived at a client in the morning and the system has been running that afternoon," he says.