Barra Credit
Tools to improve the credit investment process.
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Barra Credit is designed to facilitate and improve the credit investment process.
Barra Credit contains two modules that support quantitative portfolio monitoring, issuer analysis, and pricing of credit risky assets.
Barra Credit is used during the investment decision making process and
for ongoing portfolio monitoring. A key component of Barra Credit is
the Barra Default Probability model, which is a sophisticated model of
the capital structure of a firm. The Barra Default Probability model
has been shown to be a leading indicator of rating agency downgrades
and defaults in both the investment grade and high yield space.
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Barra Credit is used by:
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bond portfolio managers and credit analysts to obtain quantitative insight into issuer creditworthiness |
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credit derivatives and synthetic CDO investors to perform independent pricing and risk measurement of their positions. Barra Credit's valuation tools are independent, documented, and auditable |
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hedge funds to evaluate capital structure arbitrage trading strategies. The Barra Default Probability model allows users to understand the relationship between equity, equity volatility, bond spread and CDS spread. |
Barra Credit consists of two modules:
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Barra Credit Pricing:
A set of pricing models designed to support mark-to-market, hedging and risk analysis of credit risky instruments such as Bonds, Asset Swaps, CDS, CDS options, basket CDS and Synthetic CDO products.
Gives investors the tools needed to perform independent pricing of their credit derivative and synthetic CDO positions.
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Barra Credit Data:
Data files with Barra Default Probability for use in third-party or in-house systems.
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Please have someone contact me immediately regarding Barra Credit.
