24 October 2017

Quantifi updates pricing and risk platform

26 June 2006  |  1773 views  |  0 Source: Quantifi

Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, today announced the launch of Quantifi Version 8.0, the most advanced toolkit for the pricing and risk assessment of credit derivatives.

The Version 8.0 update exhibits several key enhancements including a production version of the Forward-Loss Model (FLM) for the pricing of portfolio credit derivatives.

Quantifi's technology provides buy and sell side institutions with independent credit models for pricing and risk assessment. Quantifi equips these firms with independent tools to monitor the value of their investments accurately, and gain autonomy from the dominant market players, offering potential new revenue opportunities. The Forward-Loss Model provides an innovative approach for the pricing of basket products including CDO Tranches, and is the first step towards pricing Options on CDOs and forward starting CDOs.

Other key enhancements in Quantifi's new release include:

  • Beta version ABS and cashflow CDO support
  • Straight-forward and interactive interface for automated downloading of indices and CDS spreads from Markit
  • Improved interfaces for base correlation construction and manipulation
  • New scenario sensitivity analysis
  • Expanded support for single name and basket structures and interest rate products

Rohan Douglas, CEO of Quantifi comments, "2006 has already been a very successful year for Quantifi; this news follows the opening of our London office in May. Version 8.0 provides financial institutions with the most comprehensive and accurate technology for pricing and risk assessing credit derivatives. This new functionality has been developed in response to customer feedback and market innovation, such as the FLM model, and demonstrates the cutting-edge nature of our technology combined with our market expertise."

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