The COVID-19 pandemic has severely affected global markets, causing economic disruption at unprecedented speed and on a hitherto unknown scale. With the spread of the virus accelerating by mid-March 2020, the US economy has been severely impacted and there are understandable concerns about the damage caused to the worldwide economy. A number of small businesses have closed, either temporarily or permanently, and even large and well-known companies have declared bankruptcy. This blog explores the effects of the pandemic on the credit derivatives market and more specifically, how recent bankruptcies affected North American high yield CDS index trading, including CDX.NA.HY indices and the options on them. Read More
In this article, CSI speak to Rohan Douglas, CEO of Quantifi, regarding how Quantifi operates and also engage in discussions around market challenges and developments.
Q: How do you differentiate yourself from your competitors?
A: One differentiating factor is that our technology infrastructure was built from the ground up. Whereas other vendors may offer, for example, add-on scenario analysis functions, we can produce faster results because it has always been an integral part of the risk engine. Equally, our analytics library was built on a .Net platform, so performance has always been a key element of the product. Another differentiator is that we bring on board experienced people from the industry, so we better understand the nature of our clients' needs.
The loan credit-default swap contract is similar to a corporate credit-default swap contract except for two key differences. The first is the underlying reference obligation of an LCDS is a secured loan while the underlying reference obligation of a CDS is an unsecured bond. As such, the recovery on the event of a default for an LCDS is expected to be significantly higher than that of a CDS.
Credit-linked notes can't be said to have risk-free collateral any more. In this article Dmitry Pugachevsky, Director of Research, Quantifi, suggests pricing them using techniques developed for bank counterparty risk.
One of the challenges in investing in credit linked notes (CLN) is the shortage of high quality debt for funding. This article explores a new type of trade - CLNs with risky collateral. It highlights that by taking into account all possible risk, including uncertainty of market value at early redemption, one can calculate values and sensitivities of such products, and trade them consistently as traditional CLNs.
The investment management industry continues to grow and is undergoing a period of change, driven by regulatory developments, shifting investor preferences, cost pressures, and advancing technologies. With the launch of its Synthetic Credit Opportunity Fund, Axiom sought to replace their in-house system with an external cloud-enabled solution that provided the advanced functionality necessary to support non-standard products. read more
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
Quantifi has been selected by Tresidor Investment Management LLP a recently launched London-based alternative credit manager, to provide comprehensive risk and portfolio management systems to support the launch of their new credit fund. To support Tresidor’s investment strategies they required a cloud-based portfolio management solution that put sophisticated credit risk modelling first, and thereby provided consistent and accurate pre- and post-trade analytics, valuation and risk management across their full breadth of credit instruments. read more
Ellington Management Group, an investment and advisory firm based in Old Greenwich, CT, has selected Quantifi to enhance its risk management and reporting functions for its growing credit business. Ellington’s core competencies include deep expertise in diversified credit, mortgage, and related markets, and time-honed experience developing quantitative macro and equities strategies. read more