What are some good 3rd party apps out there for pricing and measuring risk for cash and synthetic CDOs? I've a few names here there like Quantifi, Numerix and UBS Delta, etc. Also, are any of the ratings angency's stuff worth taking look at? (i.e. Moody's CDO Edge, S&P's CDS Accelerator)Anyone out there have any experience with any of these applications?Thanks.

My take is you might want to do some customized development at top of the products you mentioned.I dont think you would be happy to rely on any single one to do pricing, nor to manage risk. Well, it really depends on your expectation.

I do plan to build on top of these platforms; but, I'm looking for the one that is most reliable in terms of output and flexibility to build around the app.

Reliable? It's all about assumptions.Pick a typical cash cdo, you need to know its collaterals, capital structure, triggers, etc. Taking the characteristic of the collaterals, look up the credit curve, or talk to your credit research people, come back with the default vector, ...I think the most important thing is the default vector. I can't say who is more accurate, you need to keep trying until you feel comfortable.Again, we are talking about assumption here.If you have a cdo square, it's going to be much more complicated. i think i would focus to get a the credit default model done first.

QuoteOriginally posted by: jjyuReliable? It's all about assumptions.Pick a typical cash cdo, you need to know its collaterals, capital structure, triggers, etc. Taking the characteristic of the collaterals, look up the credit curve, or talk to your credit research people, come back with the default vector, ...I think the most important thing is the default vector. I can't say who is more accurate, you need to keep trying until you feel comfortable.Again, we are talking about assumption here.If you have a cdo square, it's going to be much more complicated. i think i would focus to get a the credit default model done first.Sounds like the formula for disaster?

QuoteSounds like the formula for disaster? Glad you found the cause, , how are we going to fix it?

Understood; but, it seems that the rating agencies have their own credit default models baked into their platforms that allows one to change the assumptions as they see fit.I'm trying to learn if anyone out there has any experiences with these products and if they are worth taking a closer look at.Thanks!

QuoteOriginally posted by: JSTARUnderstood; but, it seems that the rating agencies have their own credit default models baked into their platforms that allows one to change the assumptions as they see fit.I'm trying to learn if anyone out there has any experiences with these products and if they are worth taking a closer look at.Thanks!Whether or not they are worth the efforts is subject to your motivation. If you want to do PM, you might have to do something, probably you already have the basic building block to do the valuation.Many times I tried to make sense of those papers on CDO pricing. If you have one particular you want to know where it stands, you need to know its structure, and collaterals. Some papers have been focus on formulas, well, that is the easy part.

CDO risk analysis is so 2007. All the cool kids these days stuff their tranches into side accounts and pretend they never bought them. On a more serious note, you probably want to think about what level of integration you want to achieve and how much infrastructure you want to run on your own. Quantifi is essentially a library which you can use either with their excel spreadsheet front-ends or integrate into your system. Platforms like UBS delta on the other end of the spectrum will run all analysis on their servers; you just send in your pools and cap structure and receive the results back from them. As far as model quality goes, I think any comparison is rather dubious, given that nobody believes their models these days. All of the above applies to synthetics. Cash CDO risk is even less meaningful. Prices are unobservable and bid are non-existent. Your MTM risk is as following: you tried to sell - you get hosed.

QuoteOriginally posted by: StructCredCDO risk analysis is so 2007. All the cool kids these days stuff their tranches into side accounts and pretend they never bought them. On a more serious note, you probably want to think about what level of integration you want to achieve and how much infrastructure you want to run on your own. Quantifi is essentially a library which you can use either with their excel spreadsheet front-ends or integrate into your system. Platforms like UBS delta on the other end of the spectrum will run all analysis on their servers; you just send in your pools and cap structure and receive the results back from them. As far as model quality goes, I think any comparison is rather dubious, given that nobody believes their models these days. All of the above applies to synthetics. Cash CDO risk is even less meaningful. Prices are unobservable and bid are non-existent. Your MTM risk is as following: you tried to sell - you get hosed.I wonder how those distressed asset funds will do in a few years, things are really cheap these days.As far as the best application for CDO valuation is concerned, I am afraid there is none if you want a turnkey solution.

Has anyone had any experience with the CDO Evaluator or CDS Accelerator? I'm receiving a demo of these next week.

S&P tools get you ratings for your tranches. They used to be important. These days they are noise.

Did you consider intex?