27 May 2018

Quantifi launches new modelling tool for waterfall structured products

11 December 2007  |  1856 views  |  0 Source: Quantifi

Quantifi, a provider of analytics and risk management solutions for the global credit markets, today announced the release of a new GUI-based application for modelling, risk analysis, and reporting of structured finance, corporate, and synthetic CDOs based on complex payment rules known as waterfalls.

As the boundary between cash and synthetic structured products blurs, the market has been demanding more sophisticated tools that can analyze both cash flow and synthetic products on a single platform. Quantifi has responded to this demand by working with several strategic clients to develop a new GUI-based application that allows modelling of cash flow CDOs within Quantifi's existing platform.

This new application, for the first time, allows clients to easily perform advanced Monte Carlo statistical analysis, as well as more traditional scenario-based analysis, for a wide range of instruments including CLOs, CBOs, MBS, ABS, and CDO of ABS. It also has the ability to tie in with popular deal and cash flow libraries.

Rohan Douglas, CEO and Founder of Quantifi, says, "Quantifi delivered the first version of our new CDO modelling application in August of this year and we have been steadily refining and developing it since. Our clients' response has been overwhelmingly positive. We see this as a natural extension of our product set based on our clients growing adoption of this asset class. We are keen to reaffirm our leadership position in structured credit analytics by providing a single platform for pricing both cash and synthetic transactions with an ease of use that our clients have come to expect.

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