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

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: