News & Research

We have developed an algorithm to produce thousands of robust issuer-specific and generic rating/sector credit curves. In this blog post, we discuss the challenges associated with credit curve construction, and how we solved them, presented with illustrative interactive charts.

In a previous post (here) we analyzed the risk of US High Yield and Investment Grade portfolios using the Axioma Factor-based Fixed Income Risk Model (FFIM), which is calibrated using cross-sectional techniques and incorporates style factors.

It’s no surprise that the risk of corporate portfolios has increased substantially in the past few weeks.