Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, has extended the functionality of its credit derivative valuation software to include the ability to price loan credit default swaps (LCDS) and tranches on LCDS (Synthetic CLOs).
The LCDS market has grown considerably with the recent launch of the LCDS Index (LCDX). Interest in this asset class has created demand for tools which provide effective pricing and risk management. The ability to model embedded refinancing options along with the likelihood of default is key to accurately pricing these products.
"LCDS and Synthetic CLOs have generated a great deal of interest and industry focus recently. We have worked closely with our clients to respond to their needs in this area by delivering new models and pricing tools which capture the key risks and characteristics of these products," said Rohan Douglas, Founder and CEO of Quantifi.
"Rapid growth in the LCDS market created immediate trading opportunities. Quantifi has responded to our needs for new models and tools for this market with impressive speed. We have come to expect this level of responsiveness and commitment from Quantifi," said Rizwan Akhter, Structured Credit Portfolio Manager at DiMaio Ahmad Capital - a New York based alternative investment management firm.
The LCDS and Synthetic CLO models are available with the upcoming release of Quantifi Toolkit and Quantifi XL Version 8.7