Quantifi upgrades credit derivatives toolkit

Source: Quantifi

Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, today announced the launch of Quantifi Version 8.6, the most advanced toolkit for the pricing and risk assessment of credit derivatives.

With the release of version 8.6, Quantifi maintains its leadership by being first-to-market with pricing models for some of the market's latest innovations - constant proportional debt obligations (CPDOs), options on CDO tranches, and forward starting CDO tranches.

CPDOs' growing popularity, especially among buy-side institutional investors, is due to their promised rich coupon over LIBOR which is delivered while maintaining (Triple A) AAA ratings. Investors in CPDOs need the ability to mark and risk-manage these products. Quantifi's Version 8.6 meets this need by providing accurate and flexible models in an easy to use and consistent platform.

As the credit derivatives options market has developed, an interest in Options on Tranches and Forward Starting Tranches has emerged. One constraint for growth in this market has been the availability of models for analysing these complex products. Market participants can now use Quantifi Version 8.6 to price and analyse options and forwards on CDX and iTraxx tranches.

"Quantifi is continuing to respond rapidly to our clients' demands for new credit derivative models. Our customers have come to rely on our expertise in creating pricing and risk analytics. For example, risks inherent in CPDOs can be managed with our new model that incorporates roll risk, bid-offer spreads as well as spread volatility and correlation," says Quantifi's CEO and Founder, Rohan Douglas.

Other key enhancements in Quantifi's new release include:
  • Extended functionality for synthetic CDO 'Substitution' Tools useful for managed CDO analysis or structuring CDOs
  • Beta support for CDS of ABS and CDO of ABS

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