Quantifi unveils new CDO pricing model

Quantifi, the New York-based provider of analytics and risk management technology to the global credit markets, has extended the functionality of its credit derivative valuation software to include a new correlated recovery model allowing calibration to a wider range of tranche prices than the traditional one-factor Gaussian copula model. The new model, Quantifi Correlated Recovery model, extends the one-factor Gaussian copula model to incorporate what Quantifi calls "more realistic treatmen

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