Quantifi adds ABS correlation pricing
Quantifi has added correlation pricing on asset-backed securities to its credit derivatives pricing and risk models.
This will enable users to price products such as tranches on the ABX index, called TABX, which were launched in February.
"We have experienced increasing demand for credit derivative models applied to alternate asset classes such as ABS,” says Rohan Douglas, CEO and founder of Quantifi. “We have responded by working closely with clients who are active in this area to develop
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