Financial software company Quantifi has released an enhanced version of its XL product. The new version aims to tackle calibration problems in CDO correlation. The new product allows standard CDO copula models to be calibrated across a wide range of market environments, such as top-down or inverted calibration techniques. It also enables more market quotes to be calibrated and features numerical techniques that greatly speed up and stabilise calibration at high correlations.
The week on Risk.net,October 14-20, 2016Receive this by email