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: Strategies and solutions for unlocking value from unstructured data

Unstructured data accounts for a growing proportion of the information that capital markets participants are using in their day-to-day operations. Technology – especially generative artificial intelligence (GenAI) – is enabling organisations to prise crucial insights from sources – such as social media posts, news articles and sustainability and company reports – that were all but...

BLOG

Accelex Says its AI Agent Can Tame The ‘Nastiest’ Corner of Data Management

Unstructured data is the bugbear of private market data managers, but one of the latest entrant to the space claims to have a solution that can tame the “nastiest” part of data retrieval – private market fund quarterly reports. Accelex is a London-based artificial intelligence (AI) focussed FinTech that has launched a platform that can prise market-relevant...

EVENT

RegTech Summit New York

Now in its 9th year, the RegTech Summit in New York will bring together the RegTech ecosystem to explore how the North American capital markets financial industry can leverage technology to drive innovation, cut costs and support regulatory change.

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...