Quantifi announces the first commercial Forward Loss Model for the pricing of portfolio credit derivatives

New York- January 31st, 2006- Quantifi, Inc, the leading provider of credit derivative pricing and risk tools, announced today the beta release of a new class of models for the pricing of portfolio credit derivatives called Forward Loss Models (FLMs).

FLMs provide a revolutionary alternate approach for the pricing of basket products including CDO Tranches, Options on CDOs, and forward starting CDOs and potentially avoid some of the existing pitfalls of the popular Copula framework. These Models are calibrated to the market and provide a rich time dynamic while avoiding potential arbitrage inconsistencies.

Forward Loss Models are related to the research of, among others, Jakob Sidenius of Royal Bank of Scotland, Vladimir Piterbarg of Barclays Capital, and Leif Andersen of Bank of America and are also referred to as SPA or Credit HJM models.

“Forward Loss Models have generated a great deal of interest and industry focus recently and we have been actively working with our clients to research, develop, and integrate this approach into our suite of products,” said Rohan Douglas, founder and CEO of Quantifi.

“Quantifi's latest release of their beta implementation of a Forward Loss Model confirms their track record of staying abreast of the latest innovations in the credit markets. We are pleased to see -- and have come to expect -- this kind of commitment from Quantifi,” said Jerzy Pawlowski of Tricadia Capital - a New York based Hedge Fund.

The FLM model is available with the release of Quantifi Toolkit and Quantifi XL version 7.1.2.

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