Derivative Fitch upgraded its Risk Analytics Platform for Credit Derivatives (RAP CD). In this new version, the rating agency features new models for synthetic CDO products, including multiple maturity CDO; long/short CDO; variable subordination CDO and zero coupon CDO. The release also included grid and batch processing and "what if" hypothetical trade risk analysis. .
The evolution is fundamental to the product's continued success, said Simon Greaves, managing director for Derivative Fitch.Its development will continue through the third quarter, said Fitch Managing Director James Wood, with the addition of models for synthetic CPPI, CPDO, combo notes and forward starting CDOs.