Proprietary Data and Pricing Capabilities

Unique and proprietary metadata derived and created from StatPro’s sophisticated analytical capabilities’


StatPro Revolution has developed a range of advanced models and capabilities to support its sophisticated performance and risk analytics.

The underlying data and capabilities of Revolution are available and widely used by clients wishing to underpin their own in-house models or operations with data developed by some of the markets’ leading quants.

Credit Curves:

StatPro Delta has produced state-of-the-art Credit Curves since the late 90s, when the product originated inside UBS Investment Bank.

These curves are renowned for their granularity, precision, completeness and quality and are used by clients to support a wide range of in-house operations including risk and performance analytics, price evaluations, research or market intelligence and credit or liability planning.

D-Curves provide extensive coverage across thousands of issuers in the sovereign, corporate and financial sectors (taking into account seniority). The curves span investment grade, high yield and emerging market, ensuring completeness of the fixed income investment books. Specialists curves for Insurance and Pension Funds, such as, UFR and LDI curves are calculated on a daily basis and the curve building algorithms are available for construction of bespoke curves.

Fundamental Factor Models:

StatPro Fundamental Factors are a family of sophisticated regional fundamental factor models calculated daily and comprising a set of pre-defined style and market factors and corresponding regional set of equities.

StatPro’s Global Fundamental Model includes more than 138 factors and 100,000 stocks from over 90 countries and covers 95% of world market capitalization. The Global model is available as a series of daily data files that contain all the factor loadings, factor return histories, covariance matrices and predicted betas of each global stock to each of our factors. The factor returns, correlations and covariances explain the factor construction. The stock exposures and deltas (stock-specific variances) explain how the stocks relate to the factors.

  • Daily update of all factors, betas and risk calculations
  • Historical timeseries for all factors from Jan 2012
  • Secure ftp transmission of all files
  • Simple, easy to interpret data file

Complex Asset Pricing:

Combining sophisticated in-house pricing methodologies with a wide range of supporting data from leading providers, StatPro’s Complex Asset Pricing solution is perfectly placed to meet pricing needs for a wide range of ‘hard to price’ assets.

CAP’s comprehensive library includes more than 350 pricing functions and multiple payoffs, incorporating all major markets and exchanges across the globe.  Our independent, transparent and comprehensive approach to pricing can help to increase efficiency and improve the regulatory compliance in frameworks such as MiFID, Ucits, and AIF.

  • Credit default swaps, both single name and on liquid index (iTraxx and CDX)
  • Interest rate and inflations swaps
  • Equity swaps and total return swaps
  • Foreign exchange forwards
  • OTC derivatives with also optionality embedded
  • A wide range of bonds and certificates

Download:  PDF Factsheet