Quantifi upgrade to support latest CDOs
Quantifi, a provider of risk management tools, has launched version 8.5 of its application for pricing and risk-assessing credit derivatives. Among several improvements, the new version includes a new base correlation term structure model for the pricing of collateralised debt obligations (CDOs). This feature will help price the growing crop of longer-dated credit default swaps now available.
The update also includes base correlation surface mapping based on moneyness (the likelihood of a CDO
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