Quantifi has upgraded its credit derivatives pricing and risk assessment tool to include pricing models for constant proportion debt obligations (CPDOs). Version 8.6 also prices options on collateralised debt obligation (CDO) tranches and forward starting CDO tranches. The new version features flexible models enabling investors to risk-manage and mark to market their CPDO positions. For the first time, the buy side can use the platform to price and analyse options and forwards on CDX and iTraxx tranches.
The week on Risk.net, November 25-December 1, 2016Receive this by email