Arcfina announces CDS Option valuation model now live

Arcfina has announced the release of its CDS Option valuation model, based upon the Bloomberg standard model. The model has been developed and roadtested in collaboration with a credit-focussed investment manager.

The introduction of this model into the Arcfina analytics library enables clients to value CDS options alongside existing credit instruments, with consistency across pricing inputs and risk measures. The model supports integration into existing portfolio analytics, including P&L attribution and scenario analysis. The enhancement expands Arcfina’s coverage of credit derivatives, supporting more advanced trading and risk management use cases.

Justin Sycamore, Founder and CEO at Arcfina said “CDS Options are complex to value and the integration of this model fundamentally allows an underlying volatily of the CDS to be derived from a published option price and underlying index or single-name spread, which in turn allows the portfolio to be shocked by a change in volatility. This type of deep scenario analysis is essential for managers looking to use CDS either to hedge or to engage risk.”