Credit Bond and Swap Risk Management

Please feel free to download our Excel CDS and BOND Risk Management demo.

You will be able with this demo to perform relative value analysis for Bonds and CDS, taking into account a recovery assumption different of zero, unlike the Bloomberg YAS function.
You can also compute the risk of a credit portfolio of CDS and Bonds : dv01, notional equivalent, Loss Given Default (LGD) and Interest rate risk.

You will also find a CDS Quanto pricer, taking into account the basis swap between currencies.

Our model has been tested in practice and is pretty robust, obviously when the market is still trading in spread, it will be more hectic when the market trades in price for a dodgy credit.

This demo covers EDF in EUR and all the market parameters, do come from Bloomberg if you have one.

Download Here

Latest News

  • 2015-06-03- Release of
    PubNub Excel
    2015-01-01- Moving East
    To the Philippines
    2013-06-18- Our Demo Risk Management Web Site is live. Check it out at
  • 2012-05-23- Swap
    Cancellation Pricer available
    for Trial, download in
    PRODUCTS/Swap Cancellation.
    2011-09-01- Big Party
    10th anniversary of
    NitroX Consulting
    2011-08-01- 2008 is Back
    Interbank credit confidence
    crisis strikes again