Valuation Capabilities

CDO Modeling

RiskSpan’s financial engineers are experts in CDO modeling. RiskSpan CDO Models insure that deal triggers, insurance wraps and call features are modeled correctly.

CDO Valuations

 

RiskSpan is the only valuation service that can provide loan level analysis of CDOs and CDO². The Valuation Team harnesses the computing power of the RiskSpan Analytics system to generate thousands of loan level cashflows on RMBS deals. These cashflows are then aggregated and run through the top level CDO waterfall to produce a single scenario cashflow for a CDO tranche.

Data Management

Data is the cornerstone of the RiskSpan System and Valuation Service.
In addition to market data, the Valuation Service depends on the following RiskSpan Data:

  •   Loan Level Collateral for RMBS
  •   CDO Offering Memorandums
  •   Agency Pool Reference Data
  •   ABX/CDX/CMBX Indices Closing
  •   Prices
  •   IO/PO Closing Prices