Quantifi, a provider of analytics and risk management solutions to the global credit markets, has released Quantifi Version 8.5, a toolkit for the pricing and risk assessment of credit derivatives. “Version 8.5 provides several key enhancements including third-generation base correlation technology essential for pricing some of the more recently developed portfolio credit products,” says Rohan Douglas, CEO, Quantifi.
Credit derivative trading volumes grew at an annual rate of 109% to over US $26 trillion by mid-2006, according to the International Swaps and Derivatives Association’s (ISDA) 2006 mid-year market survey. As the market has evolved, trading across the maturity spectrum has expanded. One of the challenges facing market participants has been modelling the observed skew across this maturity spectrum, says Quantifi. Quantifi’s Base Correlation Term Structure Model provides pricing structures for Centralised Debt Obligations (CDOs) that are sensitive to the term structure of correlation including interest-only tranches, off-the-run index tranches, and bespoke CDOs, says the solutions provider.