CAPITAL MARKETS

Structured
Credit

Our solutions are used by leading structured credit funds & dealers. Offering the most comprehensive product coverage and advanced functionality available in the market.

Market Leader In Structured Credit

Advanced Credit Models

The bespoke nature of structured products raises the computational complexities of pricing and valuations activities. For firms investing in structured credit, cutting-edge analytics that can accurately model complex deals are critical. With traditional systems not fit for such purpose, firms are focussing their efforts on solutions, like Quantifi, that apply dynamic and proven modelling techniques. We also provide advanced tools that measure sensitivities under several scenarios, provide what-if analysis and run stress test in a consistent manner. At Quantifi we deliver the tools that firms need to succeed in the valuation, pricing and risk management of structured products.

The most comprehensive credit
product coverage

Fast, accurate pricing and risk management

First and second-order sensitivities, advanced scenario engine

KEY FEATURES

This is How We Do it

Pricing & Structuring Tool

Quantifi is the leading pricing and structuring tool for the global credit markets. Trusted by start-ups and some of the largest most sophisticated credit focused investment managers.

Advanced Analytics

Quantifi is the only provider able to accurately model credit indices and index tranches and properly automate and handle the data management and operational process associated with these products.

Comprehensive Coverage

Supporting a full range of structured products – including single-name CDS &indices, credit linked notes, options, cash & synthetic CDOs, CLOs and other hybrid products.

Simplified Data Management

Providing tools for managing reference data, market data, and credit curves, including a seamless interface with major data providers. Automate ticker changes, index versioning and rolling, and credit events.

Results That Match the Market

Best-of-breed models range from vanilla product pricing to correlated-stochastic-recovery CDO calibration and pricing. These validated models provide stable, fast and accurate results.

Seamless Integration

An open architecture coupled with our experience with interfacing, data mapping, and end-to-end testing allows for the seamless integration of Quantifi into a client’s environment.

Jefferies selected Quantifi for its market leading analytics, including the ability to calculate VaR for complex credit products, strong integration with existing in-house systems, technical flexibility, and high performance computing.

FEATURED VIDEO

Insight on the
Structured Credit Markets

Following the credit crisis of 2008, tranche trading all but disappeared; it is now back with gusto.  Although a far cry from pre-crisis level, there are encouraging signs for the market’s revival. Speakers from Nomura and Brigade Capital Management discuss the latest trends in structured credit markets. Topics covered include index or bespokes, CSOs vs. CLOs, most popular tenor in bespokes & more.

insights

Navigate major trends & developments shaping the industry

Videos

Managing Counterparty Risk Capital Charge

This webinar analyses how capital requirements for counterparty credit risk management vary depending on an institution’s business model and also studies the conditions for effective management of counterparty credit risk

Whitepapers

A First View on the New CVA Risk Capital Charge

In July 2015, the Basel Committee of Banking Supervision (BCBS) published a consultative paper on credit valuation adjustment (CVA) risk to improve the current regulatory framework. In February 2016, first improvements of this framework have been introduced within the QIS instructions for the QIS based on December 2015 results.

News

Data Quality and Integration the Biggest Challenge Faced by Firms for Managing Liquidity Risk

Quantifi, OTC Partners, a boutique consultancy firm and BlackRock, a global investment management firm hosted a webinar on ‘Identifying liquidity Risk for Financial Stability’. The 108 delegates took part in a survey on their risk management practices and the IT/operational challenges associated with managing liquidity risk.

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