Austin, Texas USA - June 6, 2005 - SciComp Inc. announces the release of SciSTCDO, a pricing, risk and calibration engine for single-tranche collateralized debt obligations (STCDO). SciSTCDO prices and generates risk measures for any STCDO structure, including industry standard synthetic tranched indices (ex., Dow Jones iTraxx). SciSTCDO's analytic capabilities include both semi-analytic and Monte Carlo based pricing methods.
SciSTCDO provides three different pricing models: a robust, high performance Monte Carlo based simulation method for handling exotic variations; a fast semi-analytic method with an implied correlation calculator; and a semi-analytic method with stochastic correlation for managing the smile effect. By providing multiple pricing approaches users can select the approach that best meets their modeling needs and minimizes any potential model risk. SciSTCDO is available with a Microsoft Excel front end.
"The market for single tranche CDOs is rapidly expanding, and SciSTCDO provides a reliable and robust analytical tool for new entrants and seasoned players alike. SciSTCDO stands out from other available solutions, in that it prices the full range of STCDO structures, provides alternative pricing approaches, generates risk measures, and calculates implied market correlations." said Curt Randall, Executive Vice President for SciComp.
SciSTCDO is the newest addition to SciComp's suite of pricing and risk management solutions which includes SciFinanceÂ® and SciCMD. SciFinance is a flexible, rapid development environment that enables users to quickly create derivatives pricing and risk models. SciCMD provides custom-developed derivatives pricing and risk models that are tailored to a customer's particular needs. SciCMD solutions are provided as either ready-to-use Microsoft Excel add-ins or pricing source code. Asset classes supported include credit, equities, interest rate, convertible bonds, foreign exchange, cross currency structures, commodity derivatives, emerging market debt, hybrid structures and other structured products.