PRODUCT DESCRIPTION
iCo-op™ CDO Risk Management covers Credit Risk, Operational Risk, Asset Price Risk (CDO Valuation) and Liquidity Risk
PRODUCT FEATURES
CDO Risk Management
1) Key Features:
- Modelling the structure of each new deal on behalf of the Managers and setting up the Compliance Tests so that they can be monitored through the Life of the Deal.
- Cash Flows Projection.
- Generating Front and Back Office Reporting.
- Cash Management and Trustee Notification and Reconciliation.
- Independent Evaluation of Both the Market Value and Loss Distribution of Credit Portfolios and Tranches of Portfolios, especially those of Synthetic Collateralized Debt Obligations.
1) CDO Features:
- iCo-op.net™ CDO Risk Manager takes Multiple Models Approach:
- Merton Default Probability
- Hybrid Default Probability
- Users can select any number of modeling periods from a 1 single period to N periods.
- Different Portfolio Simulation Techniques
- Copula / Merton Style Simulation
- Historical Default Probability Simulation
- Macro-Factor Driven Simulation
- Base Case Assuming no Correlation
SYSTEM REQUIREMENTS
- Server Requirements:
- OS: Windows 2003 Server, Sun Solaris or IBM AIX
- App Server: BEA WebLogic or IBM WebSphere
- Database: MS SQL, Oracle or IBM DB2
- Workstation Requirements:
|