Qontigo adds CDSs to its Credit Spread Factor Risk Model
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Qontigo adds CDSs to its Credit Spread Factor Risk Model 27 April 2022US Reporter: Jenna Lomax
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Provider of risk and analytics solutions Qontigo has enhanced its Axioma Credit Spread Factor Risk Model with the addition of credit default swaps (CDS) and increased factor coverage.
The updates to the model have been included to enhance risk forecasting for asset managers, asset owners and hedge funds with portfolio exposure in the high yield and investment grade space.
The Axioma Credit Spread Factor Risk Model can be accessed within Qontigo’s portfolio risk management system, Axioma Risk, and has also been designed to work with portfolio optimisation tools.
The enhanced model includes duration times spread-based factor structure capturing the impact of market exposure, industry groups, country or region, and credit quality.
It also houses separate factor groups for different currencies including USD IG, USD HY, Euro, Sterling and Yen.
In addition to the Axioma Credit Spread Factor Risk Model, a risk framework known as the Axioma Credit Spread Curve Risk Model is also available.
Both versions are part of the Axioma family of fixed income models, which includes coverage for sovereign debt, derivatives, mortgage-backed securities, structured debt, commodities and other asset classes.
Chris Sturhahn, chief product officer for analytics at Qontigo , says: “The Credit Factor Model is built from our extensive collection of issuer credit curves.
“Because our factors are derived from the most liquid part of each issuer curve, with bond specific risk estimated from the residuals of issuer curve returns instead of factors based on sector or index spread levels, our model has greater explanatory power for bond returns. The result is more accurate risk and meaningful performance attribution.”
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