Tech Awards: Quantifi
CLO pricing model
Credit derivatives vendor Quantifi has produced a collateralised loan obligation model aimed at providing a more sophisticated approach to modelling than traditional scenario analysis.
The product models not just the debt or equity portion of the CLO, but the collateral pool as well. Quantifi believes this will help clients deconstruct complex structures, and identify how different risk factors affect the value of their portfolios.
This approach allows clients to impose Quantifi’s correlation models on a CLO’s collateral pool, enabling them to generate more realistic cashflows for both the underlying collateral and the tranches. The Monte Carlo simulation framework features several performance-enhancing technologies, including proprietary variance reduction techniques and tight integration with Quantifi’s parallel computing framework.
With the new model, Quantifi clients can now calculate credit sensitivities, interest rates, correlation and the likelihood of default for their CLO portfolios. Additionally, value distributions for each of the debt or equity tranches and the collateral pool can be computed. As these measures cannot be accurately estimated using traditional approaches, these calculations should give clients a better understanding of the dynamics of their portfolios, says Quantifi.
Quantifi CEO Rohan Douglas says: “With reduced liquidity, people needed to rely more on marking to model, but there weren’t a lot of models out there. CLO modelling has been a natural extension to our focus on credit.”
New Jersey-based Quantifi won a Technology Innovation Award last year for its correlated recovery CDO models.
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Awards
Asia Risk Technology Awards 2024
All of the winners of this year's Asia Risk Technology Awards
Energy Risk Asia Awards 2024: The winners
Winning firms adapt to change with exemplary risk management skills
Counterparty risk innovation of the year: Cumulus9
Cumulus9 proved standout vendor by bringing inventive solutions to the market, securing the award for Counterparty risk innovation of the year at the Risk Technology Awards 2024
Life and pensions ALM system of the year: Conning
Conning proved to be a standout vendor in the life insurance and pensions space and secured the Life and pensions ALM system of the year award at the Risk Technology Awards 2024
Joining the dots: banks leverage tech advancements for the future of regulatory reporting
The continued evolution of regulatory frameworks is creating mounting challenges for capital markets firms in achieving comprehensive and cost-effectiveawa compliance reporting. Regnology discusses how firms are starting to use a synthesis of emerging…
Markets Technology Awards 2024 winners' review
Vendors spy opportunity in demystifying and democratising – opening up markets and methods to new users
Derivatives house of the year: JP Morgan
Risk Awards 2024: Response to regional banking crisis went far beyond First Republic
Risk Awards 2024: The winners
JP Morgan wins derivatives house, lifetime award for El Karoui, Barclays wins rates