Quantifi Wins Credit Magazine Innovation Awards 2009

December 3, 2009
  • Quantifi Wins Credit Technology Innovation Award 2009
  • Quantifi recognized for pioneering work in the credit industry
  • New CLO Pricing Model provides more accurate valuation and risk analysis

London and New York (3rd December 2009) - Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, announced today that the firm has been awarded Credit magazine’s Technology Innovation Award in recognition of the firm’s Collateralized Loan Obligation (CLO) Pricing Model that provides more accurate valuation and risk analysis than traditional approaches.

Credit magazine’s Technology Innovation Awards recognize the achievements of technology firms for their pioneering work in credit and related industries. The nine solution providers recognized in this year’s Credit Technology Innovation Awards have developed products that were judged as best delivering the technological innovation that has been critical in enabling firms to reduce operational risk, increase efficiency, and maintain pace with the rapidly changing regulatory requirements that have characterized this year.

 


 

"The awards are given to firms who have demonstrated innovation in creating new products or services that provide a clear benefit to participants in the credit market"

Credit Magazine


 

The awards were judged by Credit's editorial team taking into account the views of industry users. The magazine stated, "The awards are given to firms who have demonstrated innovation in creating new products or services that provide a clear benefit to participants in the credit market."

By modeling not just the debt or equity portion of the CLO, but the collateral pool as well, Quantifi’s new model provides an innovative approach to modeling that enables clients to deconstruct complex credit structures and identify how different risk factors affect the value of their portfolios. Included in the CLO model is a leading-edge Monte Carlo simulation framework that features several performance-enhancing technologies, including proprietary variance reduction techniques and tight integration with Quantifi’s Multi-CPU and Multi-Core Parallel Computing framework.

Mark Traudt, CTO of Quantifi, says, “With the new model, Quantifi clients can now calculate sensitivies for credit, interest rates and correlation in addition to the likelihood of default for their CLO portfolios. Additionally, present value for each of the debt and equity tranches and the collateral pool can be computed. As these measures cannot be accurately estimated using traditional approaches, these calculations give clients a better understanding of the dynamics of their portfolios.”

Quantifi CEO Rohan Douglas says, “With reduced liquidity, people needed to rely more on marking to model, but there weren’t a lot of models out there. CLO modeling has been a natural extension to our focus on credit.” He added, “We are honored to receive an award from one of the leading publications in the credit sector. We are constantly breaking new ground and offering innovative solutions in response to our clients’ needs. Winning the Credit Technology Innovation Award is a testament to this ongoing commitment.”

Quantifi was the only company to win two Technology Innovation Awards in 2008 for its correlated recovery CDO models and LCDS and LCDX modeling.

For a complete list of 2009 Technology Innovation Award winners, visit Credit Magazine