Matthew Attwood, Editor of Credit Magazine, says, "We recognize Quantifi as being one of the groundbreaking support providers in the credit derivatives industry. The Quantifi team is composed of people who were involved with the credit markets when they first began and who have a complete understanding of what tools and models are needed to value, price and manage some of the most complex instruments we've ever seen."
Quantifi was recognized for modelling capabilities for LCDS and CDOs.
"Quantifi's model is the one model that factors in the probability that some of the reference names might cancel," says Athanasios Stavrou, Portfolio Manager at Asteri Capital in London. "With LCDS you have to account for the probability of default as well as the probability that the loans will get cancelled. The latter usually has the effect of reducing the duration of the single name risk that you have."
Stavrou continues, "Quantifi's model allows the user to perform scenario analysis to properly evaluate the return of his/her portfolio. For example, the LCDX index trades on a price basis. Using Quantifi's model, one can imply a range of running spreads depending on (a) the assumption on probabilities of cancellation and (b) its correlation to default probabilities that are both inputs to the model. Another example is daily valuation of a portfolio of LCDSs and negotiating unwinds of trades with dealers."
Quantifi is the only company to introduce a CDO pricing model that incorporates stochastic correlated recovery. The firm first released enhanced base correlation calibration for CDOs in April of 2008, followed by the release of a correlated recovery model in September of this year. This new model allows calibration to a wider range of tranche prices than the traditional one-factor Gaussian copula model.
Stavrou comments, "This latest innovation by Quantifi has introduced a relatively simple, easy to use and yet meaningful extension to the Standard Gaussian Copula Model. The use of stochastic recovery makes a lot of sense and reflects real world expectations that the higher the number of defaults within a short period of time, the higher the likelihood of lower recoveries. This improvement by Quantifi helped to solve the issues with fitting the base correlation curve, calculating proper risk parameters and P/L."
Rohan Douglas, CEO of Quantifi, says, "Since Quantifi's inception, we remain absolutely dedicated to innovation. Particularly in light of current market volatility, we recognize that industry participants need robust analytics that remain ahead of the curve, not behind. We are constantly breaking new ground, offering new solutions to our clients'
changing needs, and winning the Credit Technology Innovation awards is a testament to this ongoing commitment."