collateralised debt obligation (CDO)

Quantifi Announces Agreement with Jefferies to Support their Structured Credit Business

Tuesday, September 10, 2019

Jefferies Group LLC selected Quantifi to support its growing structured credit business. Jefferies Group LLC (Jefferies), the largest independent full-service global investment banking firm headquartered in the U.S, is a leader in providing insight, expertise and execution to investors, companies and governments. To support this synthetic CDO business, Jefferies sought to acquire a state-of-the-art pricing and analytics solution with enhanced capabilities for synthetic structured products, instead of developing its own in-house system. read more

YMER SC Selects Quantifi as Core Pricing and Risk Management Platform

Friday, April 27, 2018

YMER will use Quantifi to support the fund’s complex portfolios of diverse investment strategies. Quantifi was one of several providers considered by YMER. As a new fund, YMER wanted to partner with a reputable technology provider that was robust, easy-to-use and offered broad product coverage including complex assets. YMER also wanted a solution that would allow them to be up and running quickly and that could scale with the fund to meet future needs. read more

Buy-Side Risk Analytics, Chartis

Monday, March 4, 2013

Buy-side firms face a rapidly changing operating environment. They need not only to comply with the regulations, but also to adapt to a new marketplace. The new goal is a performance-oriented trade and risk management execution strategy for asset allocation with a strong focus on stress-testing and scenario analysis. Read More

Quantifi Awarded Credit Magazine's Technology Innovation Award

Tuesday, November 9, 2010

The Credit Magazine Technology Innovation Awards recognise the achievements of technology firms for their pioneering work in the credit market, particularly in response to the challenges in analytics, risk management, pricing and valuation. Quantifi was the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations and volatilities for interest rate swaps, cross currency swaps, CDS and CDOs for both individual trades and/or portfolios. The groundbreaking Quantifi CVA solution was launched in mid-2010. This is the third consecutive year that Quantifi has been acknowledged by Credit Magazine for its innovative tools, having been recognised last year for the Collateralized Loan Obligation (CLO) Pricing Model read more

Quantifi Develops Cutting-Edge Credit Valuation Adjustment and Counterparty Risk Solutions

Monday, June 14, 2010

Quantifi is the first vendor to develop and introduce to the market a CVA tool that successfully captures all relevant drivers of the exposure, including correlations (e.g., for wrong-way risk) and volatilities for Interest Rate Swaps, Cross Currency Swaps, CDS and CDO’s for both individual trades and/or portfolios. Advanced semi-analytic models make Quantifi CVA the fastest, most sophisticated and comprehensive CVA pricing tool on the market. It is designed to allow traders and risk managers to price new trades in seconds to help them identify the risk dynamics on the desk at the point of trade and to effectively hedge counterparty risk. read more

Oracle Selects Quantifi for New Structured Credit Fund

Tuesday, June 8, 2010

Founded in 2009, Oracle Capital is based in Hong Kong and focuses on fixed income products, particularly in the areas of credit, fixed income derivatives and securitization. The initial fund invests in products that reference corporate credit risk, including cash and synthetic CDOs. As the firm was starting up, Oracle explored a range of options to fulfill their needs, including developing an internal solution as well as third-party vendor solutions. After careful review, Oracle selected Quantifi for its robust coverage of a wide range of complex instruments. read more

Quantifi Wins Credit Technology Innovation Awards

Thursday, December 11, 2008

Quantifi was recognized for modelling capabilities for LCDS and CDOs. “Quantifi’s model is the one model that factors in the probability that some of the reference names might cancel,” says Athanasios Stavrou, Portfolio Manager at Asteri Capital in London. “With LCDS you have to account for the probability of default as well as the probability that the loans will get cancelled. The latter usually has the effect of reducing the duration of the single name risk that you have.”Athanasios Stavrou, Portfolio Manager at Asteri Capital in London read more

Survey Reveals Increasing Importance of Independent Models

Tuesday, December 9, 2008

The survey was conducted at Quantifi’s recent seminar, titled ““CDO Modeling – Trends and Latest Developments.” Held on November 19th in London, the seminar aimed to inform Quantifi clients and other credit derivatives industry participants of the most recent trends in modelling CDOs, including an overview of correlated recovery models. In September 2008, Quantifi introduced a new correlated recovery model, allowing calibration to a wider range of tranche prices than the traditional one-factor Gaussian copula model. This innovative new model allows participants to calibrate and price even during periods of extreme market turmoil. read more

Quantifi Releases Version 9.1

Tuesday, October 14, 2008

Quantifi’s Version 9.1 release includes several significant enhancements to both the analytical framework and risk management infrastructure. The new models such as the QCR and the “top-down” model are a direct response to the market’s shifting pricing paradigm. While the market experiences profound changes, the ability to accurately price and manage risks is imperative. “It is during these volatile times that our close partnership with clients provides the most benefit,” Rohan Douglas, CEO and Founder of Quanitifi, Inc.  read more

Quantifi Announces New Correlated Recovery Model for CDO Pricing

Tuesday, September 9, 2008

Recent market turmoil has led to significant challenges for the pricing and risk management of synthetic CDOs. Widening and more volatile spreads have caused some simple Gaussian copula models to fail, leaving market participants unable to price or hedge accurately. In response to this market need, Quantifi has developed a new model for pricing CDOs called the Quantifi Correlated Recovery model (QCR) which extends the one-factor Gaussian copula model to incorporate more realistic treatment of recovery in the event of default.

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