Groundbreaking Results of an Independent Credit Research
The two founding principals of QCR with investment banking background from London (leveraged finance & fixed income trading) have developed a brand new methodology that can quantify credit risk and price credit instrument better than existing practices. Our innovative methodology is an enhancement of the DCF method to stress test the vulnerability of future cash flow generation of the borrower in different macroeconomic scenarios. Such simulation can add significant value when establishing fundamental value of single name corporate credits. The results of the model were successfully tested on the European leverage loan market, back-testing showed 20% annual profit on a cash-neutral trading strategy in 2007-2009.
We see an opportunity here to introduce a new quantitative modelling tool to a hedge fund as we claim and back-tests showed that the new model can price credit better than existing methodologies. We are happy to work for investment funds to demonstrate the edge of the model by enhancing the risk-return potential of the fund.
The methodology of the new model is elaborated on further under the section on RISKAWARE/Methodology.