Quantifi, a leading provider of analytics and risk management solutions for the global credit markets, today announced a set of enhancements which solve the common CDO correlation calibration problems ...

Investors desire a simple but robust method of estimating return correlation between collateralized debt obligation (CDO) equity and other investments. Existing correlation estimation methods suffer ...

During the financial crisis, it was often impossible to calibrate the Gaussian copula credit portfolio model with base correlation and fixed recovery rates (also known as the standard Gaussian copula ...