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News > David Kelly article in FIX Global |
January 2010 - David Kelly article in FIX Global
Counterparty credit risk theory and
practice have been evolving over the
past decade, but the recent market
crisis has brought it heightened focus.
Quantifi’s David Kelly explains how
the current best practice is the result
of a long evolutionary process.
Download a copy of the article |
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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.
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