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Example Project: Valuation

Client Brief

The client, a buy-side instiitution, required design and implementation of a valuation/modelling methodology for its CDO portfolio. Of particular interest were a set of “what-if” scenarios based on perturbation of model inputs.

QuantVal Solution

QuantVal worked with the client to define available data, define a simple model and link the two. The project was further complicated by the differing types of CDOs in the portfolio requiring differing approaches.

The various modelling approaches subsequently underwent several iterations of improvement, to refine the approach.