About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Quantifi Adds New Model to Valuation Software for More Realistic Treatment of Market Recovery

Subscribe to our newsletter

Quantifi, a provider of analytics and risk management solutions to the global credit markets, has extended the functionality of its credit derivative valuation software to include a new correlated recovery model, which it says will incorporate a more realistic treatment of recovery in the event of default.

Quantifi reckons that institutions need to alter their pricing and risk modelling in order to take into account recent market turmoil. Its extension to a new model for pricing CDOs is a reaction to this market need, it claims.

According to the vendor, this new model will allow calibration to a wider range of tranche prices than the traditional one-factor Gaussian copula model. The new model has been dubbed the Quantifi Correlated Recovery model (QCR) and it allows participants to calibrate and price even during periods of extreme market turmoil, says Quantifi.

It claims that the QCR model, which is available in version 9.1 of Quantifi Risk, Quantifi Toolkit, and Quantifi XL, also more accurately prices senior tranches while providing improved sensitivities including solving the ‘negative delta’ problem.

Rohan Douglas, founder and CEO of Quantifi, explains: “The correlated recovery model is a new class of CDO model which has generated a lot of interest from banks and other leading market participants.”

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: Streamlining trading and investment processes with data standards and identifiers

Financial institutions are integrating not only greater volumes of data for use across their organisation but also more varieties of data. As well, that data is being applied to more use cases than ever before, especially regulatory compliance and ESG integration. Due to this increased complexity of institutions’ data needs, however, information often arrives into...

BLOG

Data Usage Rights Patent is Music to the Ears of VendEx Boss

Richard Clements has a talent for explaining highly technical concepts in ways that make them sound as easy as listening to your favourite song. Which is apt, considering that the chief executive of VendEx, a vendor and data cataloguing technology provider, explains his company’s latest innovation with a guitar perched on a stand beside him....

EVENT

TradingTech Summit London

Now in its 14th year the TradingTech Summit London brings together the European trading technology capital markets industry and examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

GUIDE

AI in Capital Markets: Practical Insight for a Transforming Industry – Free Handbook

AI is no longer on the horizon – it’s embedded in the infrastructure of modern capital markets. But separating real impact from inflated promises requires a grounded, practical understanding. The AI in Capital Markets Handbook 2025 provides exactly that. Designed for data-driven professionals across the trade life-cycle, compliance, infrastructure, and strategy, this handbook goes beyond...