Powerful analytics that can model complex deals in granular detail.

 
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We value the most complex securities that require a large attention to detail. Our team is supported by proprietary analytics centred around a powerful cash flow engine.

 
 
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Dig in to the detail.

Our cash flow engine allows modelling right the way down to the loan level, enabling huge increases in detail to transactions with hundreds or thousands of underlying collateral line items.

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Thousands of simulations.

With stochastic analyses, we can simulate the deal thousands of times using probability rather than simple deterministic analyses. The data revealed from the various timing and correlation of different situations presents full loss distributions and highlights tail risks.

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Huge flexibility.

We can model any type of structured credit deal. CDO, Master Trust, cash or synthetic. Features including interest rate swaps, rating constraints and various derivatives can be modelled in.

 

 
 

Stochastic analysis can uncover hidden value and risks.

Our proprietary cash flow engine can handle tens of thousands of individual line items. Detailed cash flow characteristics can be specified at the loan level, including prepayment rate vectors, custom amortisation profiles and complex interest coupons.

Since we can model every line of underlying collateral, we can also attach individual credit default curves to each asset. By running the deal thousands of times, we are then able to create full loss distributions of each tranche and the whole portfolio.

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Arrange a demo

The best way to learn more about PSL and our services is to arrange a demo, either face-to-face or over the internet.

We’ll show you our evaluated pricing platform and bespoke deal modelling tool, and help with any queries and requests you have.

 
 
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