Julius Finance, which specialises in model fusion for the USD58trn credit derivatives market, has launched an independent valuation service for an alphabet soup of credit derivatives inclu
Julius Finance, which specialises in model fusion for the USD58trn credit derivatives market, has launched an independent valuation service for an alphabet soup of credit derivatives including bespoke synthetic credit derivative obligations (CDOs), CDO2s (CDO squared), CDO3s (CDO cubed), CPPIs, CPDOs, CDPCs and CDSs.
The valuation service makes use of Julius Finance’s research in model fusion, which is able to price such securities by taking account of all market available information through a unified credit model. Following billions of dollars in CDO writedowns, investor demand for independent valuation of complex financial instruments has rapidly increased, the firm says.
Julius says its technology provides unprecedented visibility for market-derived pricing and analytics. The service is designed to provide bespoke valuation, risk management, catastrophic risk analysis, portfolio management, scenario analysis, structured and hybrid products and trading for credit traders, credit risk managers, auditors, legal professionals and controllers.
Julius also provides market-driven tail risk estimates for credit default swap and corporate bond portfolio managers, and insights into monoline companies such as credit derivative product providers.
‘We are proud to announce our new service providing independent valuations for this range of credit derivatives,’ says the firm’s founder and chief executive Peter Cotton. ‘We believe we are the only provider on the market able to do so using a unified credit model.’
Julius Finance is a venture-funded start-up specialising in research that seeks to fuse highly complex financial data into unified, internally consistent models. Its first end-user product, JuliusProp, offers an enhanced analytic data service with a full range of market implied risk metrics, exotic prices and forward-looking analysis derived from unified credit models.