January 2010 - Structured Credit Investor - Q&A - The Right Direction
Q: How and when did Quantifi become involved in the structured credit market?
A: I set Quantifi up in 2002, having previously run the global credit derivative research group at Citi. I saw an opportunity at that time in an environment where the biggest banks had sophisticated internal risk management and pricing systems, but new entrants to the credit market lacked access to such infrastructure. The timing was fortuitous as it allowed us to participate in the subsequent growth of the market.
For our first two years of operation, we worked with a single client to build out our suite of products and then expanded to a broader range of clients. We now have over 120 clients, split fairly evenly between the buy- and sell-side.
Quantifi provides a range of integrated pre-trade and post-trade analysis, pricing, structuring and risk management solutions.
Q: Do you focus on a broad range of asset classes or only one?
A: We aim to be the leading analytics and risk management provider in the broader credit markets. We specialise in cash and synthetic credit products, including sovereign and corporate bonds, loans, CDS, nth-to-default baskets and synthetic CDOs, CLOs, convertibles and interest rate derivatives.
One interesting project we're focusing on at the moment is the area of counterparty credit risk. This follows our recent acquisition of Moment Analytics (see SCI issue 161), whose ceo David Kelly formerly managed counterparty credit risk for Citi.
Counterparty risk touches on a number of asset classes and plays directly to our credit modelling expertise and technology infrastructure: the ability to create fast ad-hoc scenarios is a primary focus for large financial institutions right now. They need to be able to run large-scale Monte Carlo analyses across portfolios.
Because the work is computationally intensive, it is important to be timely. There is a gap in the market for this kind of capability.
The acquisition of Moment Analytics brings a great deal of value to Quantifi and, in particular, David's expertise in counterparty risk will be an important part of our development in this area.
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