Quantifi, a leading provider of analytics and risk management solutions to the global credit markets, has released version 9.1, with many noteworthy enhancements. Responding to customers’ needs for accurate pricing and risk management in fast moving markets, this release provides several new and powerful tools including new models for pricing CDOs and a flexible interface that enables users to perform complex ad hoc analysis across a broad range of market scenarios.
"Version 9.1 includes many ground breaking features and continues our tradition of rapidly responding to clients’ needs by providing first-to-market innovations that closely track the market," says Rohan Douglas, founder and ceo of Quantifi.
Highlights of Quantifi Version 9.1 include:
– The Quantifi Correlated Recovery (QCR) Model – a model that incorporates correlated stochastic recovery within the market standard Gaussian copula framework, enabling users to price and calibrate reliably even in times of extreme market volatility
– Support for Syndicated Loans that provides accurate pricing and comprehensive risk management including support for contractual features such as pricing grids (performance coupons), variable draws, and prepayments
– A next generation ‘Top Down’ model for pricing CDOs that directly incorporates information from the tranche markets for pricing and risk analysis
– Support for distributed processing beyond grid computing with multi-core/multi-CPU optimized distributed processing capabilities. This dramatically speeds up computation times on complex trade pricing and scenario risk analysis even on stand-alone desktops
– A new ‘Scenario Editor’ which provides a graphical interface that greatly simplifies the process of performing complex ‘what-if’ scenario analysis. The combination of flexibility and ease-of-use presents a powerful intra-day or overnight scenario risk analysis tool
– Enhanced sensitivity analysis including direct calculation of CDO sensitivities to correlation calibration parameters such as tranche and index levels
Quantifi’s Version 9.1 release includes several significant enhancements to both the analytical framework and risk management infrastructure. The new models such as the QCR and the "top-down" model are a direct response to the market’s shifting pricing paradigm. While the market experiences profound changes, the ability to accurately price and manage risks is imperative.
"It is during these volatile times that our close partnership with clients provides the most benefit," says Douglas. "Now more than ever, our clients rely on Quantifi’s market-standard, independent, reliable, and accurate models and risk management software."