Pricing Partners has released new tools for ABS valuation. These valuation tools are designed to strengthen the credit module of the Pricing Partners libraries, enabling the user to value similar or derived products like collateralised debt obligations of ABS. Within this new framework, the user can take into account both the pre-payment risk and the default risk. The user should then be able to mark their own assumptions and to use market data coming from traditional platforms like Intex or Bloomberg.

Marian Ciucă, head of quantitative research at Pricing Partners, said: "First of all, the chosen amortization profile is calibrated in order to match the observed average life of the ABS bond. Then, using the ABS bond price we bootstrap the default intensity of the underlying, and imply the survival probabilities. We also offer to our clients the possibility to use the last model, publicly available, used by Fitch for their CDOs of ABS. Several other Factor Copula models, available in our Library, can be also used to valuate CDOs of ABS."

Eric Benhamou, chief executive of Pricing Partners added: "The independent valuation of ABS and all related products has become a large concern for most of our customers due to the lack of information and transparency on this market. Pricing Partners libraries were already encompassing the description and the pricing of many asset classes. With this new framework, Pricing Partners strengthens its leading position in the independent valuation fields and now offers its customers the widest coverage in terms of financial products."