Quantifi, a provider of analytics and risk management applications to the global credit markets, has launched the Quantifi Version 8.5 toolkit for the pricing and risk assessment of credit derivatives.
The version 8.5 update exhibits several key enhancements including a new Base Correlation Term Structure model for the pricing of Collateralised Debt Obligations (CDOs).
Credit derivative trading volumes grew at an annual rate of 109 percent to over USD 26 trillion by mid 2006. As the market has evolved, trading across the maturity spectrum has expanded. Quantifi’s Base Correlation Term Structure Model aims to provide more accurate pricing of CDO structures which are sensitive to the term structure of correlation such as interest-only tranches, off-the-run index tranches, and bespoke CDOs.
“2006 has been a year of significant growth for Quantifi,” says Rohan Douglas, the CEO of Quantifi. “The 8.5 release is a fitting way for us to close this year with a re-affirmation of our commitment to the continued innovation and improvement of our software products. Version 8.5 provides several key enhancements including third-generation base correlation technology essential for pricing some of the more recently developed portfolio credit products.”