Quantifi extends credit derivatives valuation software to asset-backed securities

Source: Quantifi Solutions

Quantifi Solutions, Inc., the leading provider of credit derivatives pricing and risk models, has extended the functionality of its credit derivatives valuation software to include the ability to price correlation products on asset-backed securities (ABS) such as tranches on the ABX index (TABX).

As TABX trading grows in popularity, so too grows the demand for a modeling framework that can effectively price and manage the risks of these products. Commonly, asset-backed security analysis is scenario-based, which does not capture correlation risk. The ability to capture correlation risk is important because it is a primary risk driving the value of TABX.

Quantifi's new tools for valuing TABX, tranches on baskets of ABCDS, build upon existing modeling tools for synthetic CDOs on corporate credits by adding the ability to model prepayments.

"We have experienced increasing demand for credit derivative models applied to alternate asset classes such as ABS. We have responded by working closely with clients who are active in this area to develop pricing models which bridge the gap between traditional credit correlation models and deterministic cash-flow analysis," says Rohan Douglas, CEO and Founder of Quantifi.

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