Quantifi Adds Correlation Pricing

New Jersey-based pricing software vendor Quantifi has added the ability to price correlation products on asset-backed securities such as tranches on the ABX index to its credit derivatives valuation software. Officials say this capability is particularly important because correlation risk is the primary risk source driving the ABX Index. The new functions add the ability to model pre-payments to the vendor's existing tools for modeling synthetic collateralize

To continue reading...

You need to sign in to use this feature. If you don’t have a WatersTechnology account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: