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Nationwide selects and implements the Principia System to manage credit derivatives portfolio

Monday 8 December 2003 07:54 CET | News

Nationwide has upgraded its Principia Systemlicense and installation to incorporate recently enhanced credit derivatives capabilities. Nationwide has been a user of the Principia System since 1998.

The new component expands Principias credit derivatives product coverage beyond asset swaps and total return swaps to include credit default swaps, default digital swaps, options on credit default swaps, cancelable credit default swaps and nth-to-default basket swaps. Designed for accuracy and speed, the Principia Systems credit derivatives product uses an intensity-based pricing methodology based on market derived default probabilities and recovery rates. These rates are obtained using the flexible calibration tools that allow accurate pricing from often limited and varied sources of data available from the market. Transparent pricing models provide complete drill-down into the valuation along with the ability to capture subtleties such as recovery payment delays, premium payment frequency and pricing effects due to different credit events being specified in the contracts.


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Categories: Payments & Commerce | Payments General
Countries: World
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