Barra Credit Pricing
Tools to improve the credit investment process.

Barra Credit Pricing provides credit investment professionals with a set of derivative valuation models designed to support mark-to-market, hedging and risk analysis of credit derivatives. Barra Credit Pricing can be used as a stand-alone application or as a pricing engine within any deal-capture, mark-to-market or risk management system. Barra Credit Pricing enables credit investors to calculate independent mark-to-market values using fully documented and auditable derivative valuation models.

Barra Credit Pricing includes:

Extensive Pricing Models

At the center of any derivative pricing technology solution are the quantitative models powering the valuation and risk assessment. Barra Credit Pricing delivers an extensive selection of models including:

	Singly and doubly stochastic reduced form models
	Single Factor Gaussian Copula Model
	Multi-factor simulation Gaussian and t-Copula Model

Wide Instrument Coverage

The credit derivative markets are changing quickly. What represents a sufficient technology solution today may not be satisfactory a year down the road as the market evolves and new instruments come to the forefront. Barra Credit Pricing contains a broad range of instruments with coverage continually expanding to include new credit derivative instruments.

	Credit Default Swaps (CDS), vanilla, forward and binary
	Asset Swaps and Forward Asset Swaps
	Credit Linked Notes (CLN), Principal protected CLN with fixed or floating payments
	Defaultable bonds
	Total Rate of Return Swap (TRORS/TRS)
	Credit Spread options (on bonds)
	Credit Default Swap options (European or Bermudan)
	Equity Default Swaps
	CDS and CLN on baskets of assets
	Synthetic CDO in both funded and unfunded form

Quality Data

High-quality credit data is crucial to the quality of the valuations. Barra Credit Pricing consolidates data from a number of sources enabling "turnkey" valuation of all types of instruments - from single-name credit default swaps to multi-name products such as single tranche synthetic CDOs. Available data includes:

	Barra Default Probabilities (BDP)
	CDS Market Implied Default Probability
	Sector based recovery rates
	Firm value correlations for use in Copula models
	Benchmark government and swap interest rate curves

Barra Credit Pricing allows you to:
	Mark-to-market a portfolio of credit derivative positions
	Identify arbitrage opportunities
	Derive hedge ratios and evaluate "what-if" scenarios

Please have someone contact me immediately regarding Barra Credit.