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… While Quantifi Extends Asset-Backed Securities Valuations

At 01 Apr 2007 10:26:05 in RDR-Evaluated Prices, RDR-Indexes, RDR-News in Brief, Reference Data Review    Print Article  Email Article   Full content requires subscription 

Quantifi Solutions has extended the functionality of its credit derivatives valuation software to include the ability to price correlation products on asset-backed securities (ABS) such as tranches on the ABX index (TABX). Quantifi’s new tools for valuing TABX and tranches on baskets of ABCDS build upon existing modelling tools for synthetic CDOs on corporate credits by adding the ability to model prepayments.

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