Quantifi upgrades XL product
Financial software company Quantifi has released an enhanced version of its XL product. The new version aims to tackle calibration problems in CDO correlation.
“The recent volatility in the credit markets is making CDO base correlation calibration difficult for some parts of the capital structure,” says Rohan Douglas, CEO of Quantifi.
The new product allows standard CDO copula models to be calibrated across a wide range of market environments, such as top-down or inverted calibration techniques
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