|
|
|
|
News > Valuations Conference |
June 2008 - Valuations Conference
Quantifi's Senior Quantitative Analyst, Mr. Mark Ferguson, will lead a session on loan modeling at the FRA Conference held in NYC on 24th June.
The topics covered in this session will be:
Valuation of Loan Products: LCDS,
Loans, LCDX, TLCDX and CLOs
- Current state of the loan and loan derivatives markets
- How the most common products trade – LCDS, Loans, LCDX,
TLCDX and CLOs
- Challenges for valuation of loans and loan derivatives
- Pricing models and best market practice
- Implications of Basel II and GAAP
Please visit Financial Research Associates |
| |
|
|
|
Highlights
Quantifi has extended
the functionality of its credit derivative valuation software
to include the ability to price loan credit default swaps (LCDS)
and tranches on LCDS (Synthetic CLOs).
“Rapid growth in the LCDS market created immediate trading
opportunities. Quantifi has responded to our needs for new models
and tools for this market with impressive speed. We have come
to expect this level of responsiveness and commitment from Quantifi”,
said Rizwan Akhter, Structured Credit Portfolio Manager at DiMaio
Ahmad Capital – a New York based alternative investment
management firm.
|
|
|
 |
| |
|
|
