PBCAM

Produces market evaluated prices for investment grade bonds
Model provides a measure of market risk aversion (Pi)
Central feature is the generation of transition matrices
Uses liquidity, historic credit transition information and a default-free term structure
Developed for Sterling, Euro and US Dollar Eurobond markets
Evolution of the Jarrow, Lando and Turnbull model
Users are fixed income brokers and fund managers

Contact us

Sutherlands Edinburgh Ltd
61 Dublin Street
Edinburgh
EH3 6NL

T +44 (0) 131 565 2020
F +44 (0) 131 565 2021

Sutherlands Edinburgh Ltd 61 Dublin Street, Edinburgh, EH3 6NL
T +44 (0) 131 565 2020 F +44 (0) 131 565 2021 E general-enquiries@sutherlands-ed.com