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September 30, 2008
Julius Finance Advocates Banker Proof CDO Valuations
Julius Finance advocates "banker proof" CDO valuations ahead of possible bailout
NEW YORK, Sept. 30 -- Julius Finance, the research leader in CDO valuation technology, has called for the use of standardized house price appreciation scenarios in the valuation of complex financial products such as mortgage backed CDOs.
Julius Finance provides standardized scenarios for corporate defaults using breakthrough model fusion technology. Julius' corporate backed CDO valuations are the first internally consistent methodology to be deployed in this space.
"The old saying about the whole being greater than the sum of its parts does not apply to CDOs," says CEO Dr. Peter Cotton. "For years, banks have been able to tranche up CDOs and sell the slices for more than the cost of the pie -- with inconsistent valuation and ratings models not exactly standing in the way. Now, there is the possibility of the entire financial community playing that game on a vast scale with the taxpayer on the other end of the deal."
Members of congress have rebuked a first attempt at a $700 billion dollar bailout which would involve taxpayers purchasing individual slices of mortgage backed CDOs. In all likelihood, a revised bill will be presented this Thursday, once again without an explicit plan for the valuation of these highly complex financial securities.
Julius Finance's solution involves a set of agreed standardized scenarios for home price appreciation, combined with detailed loan-level modeling of prepayment and default based on millions of historical data points. A precedent is provided by the American Academy of Actuaries which provides standardized equity return and interest rate scenarios used by insurance companies in the calculation of risk based capital.
The procedure ensures that securities cost the same as the sum of the constituent parts.
"If that sounds like Finance 101, it's because it is," says Dr. Cotton. "What's required is a rigorous approach, in the sense that one cannot magically create value by slicing, dicing and re-arranging alone. This provides an important constraint on what might otherwise become a free-for-all."
Julius Finance has developed technology and infrastructure for overcoming the associated computational challenges. Julius Finance collaborates with analytics and vendors providing historical data on prepayment and default rates, as well as up to date pricing on over the counter CDOs.
About Julius Finance
Julius Finance, the model fusion specialist, is a venture funded startup which has produced breakthrough research for fusing highly complex financial data into unified, internally consistent models. Our technology provides unprecedented visibility for market derived pricing and analytics, whether it be for bespoke valuation, risk management, portfolio management, scenario analysis, structured/hybrid products or trading. Starting with credit derivatives markets our first end user product, JuliusPropTM, offers an enhanced analytic data service with a full range of market implied risk metrics, exotic prices, and forward-looking analysis uniquely derived using next generation unified credit models.
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Source: Julius Finance Corp.
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