Quantifi upgrade to support latest CDO structures
Quantifi, a provider of risk management tools, has launched version 8.5 of its application for pricing and risk-assessing credit derivatives.
Among several improvements, the new version includes a new base correlation term structure model for the pricing of collateralised debt obligations (CDOs).
This feature will help price the growing crop of longer-dated CDS now available.
The update also includes base correlation surface mapping based on moneyness (the likelihood of a CDO having positive return at time of expiration), probability, senior and equity spread and expected loss ratios, along with enhanced backing for interest-only, principal-only, funded and floating CDO structures.
“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,” said Quantifi CEO Rohan Douglas.
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