- Quantifi offers fast, accurate, and independent pricing models for credit derivatives
Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, today announced the launch of Quantifi Version 8.7, the most advanced toolkit for the pricing and risk assessment of credit derivatives. In version 8.7, Quantifi responds to client needs by providing support for mixing base correlation surfaces on a name-by-name basis for bespoke pricing tasks.
Quantifi’s most recent version reflects the latest market trends as well as feedback from major market participants and clients. Name-by-name surface assignment is an emerging market standard approach for choosing a correlation proxy in the pricing and risk analysis of bespoke single tranche collateralized debt obligations (CDOs). Quantifi is again first-to-market with support for this process.
“The credit derivatives market has achieved a new level of sophistication with a large number of players meticulously selecting the reference names in bespoke CDOs and demanding a valuation model that complements that analysis. Quantifi responded to this need by adding a new base correlation mixing method to its extensive set of tools for synthetic structured products,” says Quantifi’s CEO and Founder, Rohan Douglas.
Other key enhancements in Quantifi’s new release include:
- Enhancement of Quantifi's models and tools for fast and accurate calibration and pricing of loan credit default swaps, LCDX and tranches on the LCDX
- Mixing of base correlations via weighted average pricing
- Pricing of credit default swap (CDS) indexes and options on CDS indexes utilizing a term structure of index levels