Quantifi will provide CreditSights, with Quantifi’s XL application to enable CreditSights’ analysts to assess the impact of changing correlation environments on typical portfolio positions.
“Our clients have a need for independent, well-informed strategic analysis regarding correlation trading strategies given the high volatility and rapidly changing conditions these markets have been exhibiting since last summer. With Quantifi’s advanced pricing tools we will be able to propose and test a variety of strategies in a wide selection of market conditions. Our expertise will allow us to recommend the most robust strategies given the likely scenarios going forward,” says Brian Yelvington, senior macro strategist, CreditSights.
Quantifi XL consists of a range of add-in functions for Excel. It includes several pricing applications for a wide range of credit products including credit default swaps (CDS), basket default swaps (CDX/iTraxx), single tranche CDOs, and Collateralized Loan Obligations (CLOs).
“We are pleased to be collaborating with the CreditSights team. Their carefully researched conclusions and market acumen complement our experience in this market allowing for delivery of unparalleled research and advice,” says Rohan Douglas, founder and CEO, Quantifi.