– Quantifi 9.2 addresses current industry challenges in the credit space via operational risk management, real-time risk management, and support for central clearing of CDS
Quantifi, Inc., a leading provider of analytics and risk management solutions to the global creditmarkets, today announced the release of Version 9.2 (V9.2) of the firm’scomprehensive pricing, hedging and risk analysis software. Quantifi hasreleased V9.2 as part of its ongoing commitment to keep customers up todate with the market’s rapidly changing regulatory and operationalrequirements, as well as providing a broad range of usabilityenhancements.
"All OTC derivatives market participants are facing significantchallenges with regulatory uncertainty and volatile markets. The releaseof V9.2 builds upon our proven record of first-to-market innovationsthat directly address these challenges and allow our clients to focus ontheir core business. This release provides specific features that reduceoperational risk, enhance real-time risk management, and broaden productcoverage," says Rohan Douglas, ceo of Quantifi. "We continue to workclosely with clients to provide accurate, responsive, and flexible solutions that match their needs."
New features in Quantifi V9.2 include:
– Reduced operational risk: New release offers a streamlined interface to the DTCC/DerivSERV trade matching service
– More detailed risk management: Support for more complex correlation scenarios for NTD baskets and bespoke CDOs
– Improved risk aggregation: Support for structured deals in risk reporting and analysis
– PnL management: Enhancements feature integrated Risk and PnL attribution reporting that provides detailed analysis of the effects of market movements on profit and loss
– Better decision making: Completely rewritten Trade Blotter and integrated ‘what if’ analysis that provides powerful, customized quick trade entry with dramatically improved support for flow products using the latest user interface technology
– Enhanced ad hoc generic scenarios: Shifts in single-factor correlations have been added to Generic Scenarios, enabling this robust tool to capture what-if exposures to correlation shifts for nth to default baskets or, in some cases, bespoke CDO tranches
– Expanded SNAC/STEC support: V9.2 features ability to calibrate survival curves from par spreads, upfront fees and conventional spreads, a fully integrated upfront/spread converter that complies with the Markit-ISDA standard, and calculation of settlement amount for standard CDS contracts with past accrual
– Next generation models: Includes a Second Generation Loan Model that more accurately captures the embedded call option related to the
borrower’s credit quality, as well as a new Credit Index Option Model which supports arbitrage-free pricing of credit index options using a recently published technique that takes into account correlation of default times
– Superior performance: V9.2 is powered by Intel(r) multi-core technology which is built into the lowest level of numerical routines for faster execution of complex calculations
– Better usability: A new Function Search Wizard makes search efforts easier, with a fully searchable index of functions, substrings, wildcards, descriptions and ‘recently used’ items
John Peck, head of Quantifi’s EMEA operation, says, "We have always focused on expanding our software suite’s product breadth and functionality while still delivering superior, robust performance and an intuitive user experience. The flexibility of Quantifi’s underlying architecture enables dynamic product development and allows us to continue to provide first-to-market competitive advantages to our customers."
