- Quantifiâs Version 8.5 brings important innovations to CDO pricing
Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, today announced the launch of Quantifi Version 8.5, the most advanced toolkit for the pricing and risk assessment of credit derivatives. The version 8.5 update exhibits several key enhancements including a new Base Correlation Term Structure model for the pricing of Collateralized Debt Obligations (CDOs).
Credit derivative trading volumes grew at an annual rate of 109% to over USD 26 trillion by mid 2006â . As the market has evolved, trading across the maturity spectrum has expanded. One of the challenges facing market participants has been modelling the observed skew across this maturity spectrum. Quantifiâs Base Correlation Term Structure Model provides a significant step forward in this area and provides more accurate pricing of CDO structures which are sensitive to the term structure of correlation such as interest-only tranches, off-the-run index tranches, and bespoke CDOs.
Other key enhancements in Quantifiâs new release include:
- Expanded support for base correlation surface mapping which now includes mapping based on moneyness, moneyness PV, probability, senior spread, equity spread, expected loss ratio, and expected loss ratio PV
- Added improved support for interest only, principal only, funded and floating CDO structures
- Expanded Credit Derivative Index Option calculations including leveraged spread delta and gamma
- Added a new Modified Black model for options on CDS in addition to our existing Black model
- Released a production version of our support of ABS and cashflow CDOs
Rohan Douglas, CEO of Quantifi comments, â2006 has been a year of significant growth for Quantifi. The 8.5 release is a fitting way for us to close this year with a re-affirmation of our commitment to the continued innovation and improvement of our software products. Version 8.5 provides several key enhancements including third-generation base correlation technology essential for pricing some of the more recently developed portfolio credit products.â