Quantifi upgrades credit derivatives models
New Jersey-based risk management solutions vendor Quantifi has upgraded its toolkit for pricing and risk-assessing credit derivatives.
Version 8.0 includes a number of new features to help clients price collateralised debt obligations (CDOs) more accurately - something regulators such as the Financial Services Authority are keen to see improve, to reduce a potential source of risk in the markets.
One aspect of the upgrade is the new forward-loss model, which prices basket products such as CDOs
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