The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Pricing Partners Adds a Stochastic Rating Model to its Financial Library

Pricing Partners announced today that it added a stochastic rating model to its Price-it derivatives pricing library that enables to price ratings linked products.

Euro Medium Term Notes based on Rating have become more popular as ratings play a central role in the financial world and are easily understandable for investors. A typical structure is a note that pays a coupon that steps up if the rating of the underlying company falls below a certain rating. Using rating transition matrices, this model bootstraps transition densities and can be plugged within the generic platform to allow pricing accurately these rating dependent products.

Eric Benhamou, CEO of Pricing Partners, comments: “We are committed to excellence to provide a solution on all asset classes. This new extended feature in our financial library consolidates our market position in the derivatives pricing area. We believe that Price-it Library would be the best solution for clients who look for the full spectrum of pricing models.”

Related content

WEBINAR

Upcoming Webinar: FRTB: What still needs to be done before the global deadline of January 2023?

Date: 8 March 2022 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes While implementation of Fundamental Review of the Trading Book (FRTB) regulation has been delayed twice for reasons first of complexity and second of the coronavirus pandemic, the final deadline of January 1, 2023 is less than a year away....

BLOG

Discuss the Details of ESG Data Strategy at A-Team’s Data Management Summit USA Virtual

Interested in ESG data strategy?  Look no further than A-Team Group’s forthcoming Data Management Summit USA Virtual, which will include a session considering key issues of ESG data strategy including data sourcing and reporting, how to set up an ESG data platform, and the potential of machine learning, AI and data visualisation tools to help...

EVENT

Data Management Summit New York City (Redirected)

Now in its 8th year, the Data Management Summit (DMS) in NYC explores the shift to the new world where data is redefining the operating model and firms are seeking to unlock value via data transformation projects for enterprise gain and competitive edge.

GUIDE

Entity Data Management Handbook

Following on from the success of our Regulatory Data Handbook, A-Team Group is pleased to introduce its new Entity Data Management Handbook which is available for free download. This Handbook is the ultimate guide to all things entity data: Why Entity Data is important A full review of Legal Entity Identifiers (LEIs) Where they came...