Credit suisse trading strategy pdf




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Credit suisse trading strategy pdfQuantitative Credit Strategy

The Fixed Income Quantitative Credit Strategy Group at Credit Suisse develops and uses quantitative models focusing on credit risk at the security and portfolio level. It works with Trading, Sales, and external clients. Its remit is, in essence, to work out how to make money out of credit, in various forms, and to integrate analytical techniques into the trading and investment process to achieve greater transparency. Clients of the group include real-money accounts, CDO managers, bank loan books, pension funds, and hedge funds.

CUSP ® (Credit Underlying Securities Pricing) is a model designed to relate an issuers capital structure, stock price, and equity-implied volatility to credit risk. CUSP ® incorporates this market-priced information to provide investors with forward-looking measures of risk and expected returns in the global credit markets. The latest version, CUSP 2007, is delivered over the LOCuS platform.

PortfolioRisk+ is Credit Suisses full-distribution portfolio risk system, allowing credit risk to be measured on a mark-to-market or on a default-only basis. PL distributions for each position in the portfolio are generated usingCUSP. Using advanced analytics, these are then combined within a correlation framework to provide the forward-looking risk of the portfolio as a whole and the contribution of each holding to the overall risk. Uniquely, PortfolioRisk+ also allows structured products, such as index options and tranches, to be analyzed in the mark-to-market framework.

Another model that the group has developed is the APS (Arbitrage Pricing Spread) model for trading the basis risk between bonds, callable bonds, and CDS .

Investments

Experienced specialists, a structured approach, and a flexible choice of investment products – schedule a consultation now.

Personal Advice – Credit Suisse Invest

Thanks to our innovative investment solutions at attractive prices, you decide the scope of advice, portfolio monitoring, and investment proposals. In all cases, you can count on our global financial expertise.

Discretionary Mandates

Our customized portfolio management service relies on our many years of experience and global network.

Our wide range of investment fund options and ETFs lets you find the right solution for your individual needs.

Structured Products

Structured products include capital protection, return optimization, or participation products and can be used as an alternative to traditional forms of investment.