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Structured Credit Solution

Measure Risk of Advanced Structured Credit Trading Strategies

Structured Credit Solution provides investors with a turnkey solution to measure the risk of advanced structured credit trading strategies, such as correlation trades and basis trades.

The solution covers a wide-range of structured credit instruments making it easier for investors to understand the risk exposures across their entire portfolio.

The solution is designed for hedge funds and banks trading credit strategies, prime brokers calculating risk-based margin on structured credit trades, and asset managers investing in synthetic credit products. RiskMetrics Group's Structured Credit Solution allows investors to estimate sensitivities, design stress scenarios, and calculate statistical measures of downside risk through historical and Monte Carlo simulation.

Benefits of Structured Credit Solution:

Accurately measures basis risk of portfolios containing credit default swap (CDS) indices.
Index constituents are automatically mapped for CDS indices and standard tranches to facilitate loading client portfolios.
Investors trading bespoke tranches can define their own baskets and attachment/detachment points to accurately measure sensitivities and risk due to spread changes, defaults, and correlations.