October 20, 2022
Fixed income risk models are more than just risk reporting tools and have become a core component in the portfolio management process. As functions within an organization use these models in new ways, it’s more important than ever to ensure a consistent view of risk and return. In this webinar series, we’ll demonstrate how to use the Axioma Credit Spread Factor Risk Model for multiple purposes including portfolio construction, risk forecasting and attribution.
In this webinar, we will examine an index replication use case and compare the following strategies: characteristics matching versus risk model-based optimization. We will also review the resulting tracking error and stress test the replicated portfolios.
Presenter:
Hassan Ennadifi |
Bill Morokoff |
More webinars in this series
How a superior credit spread risk model supports risk forecasting
November 3, 2022, 11:00 am EDT / 3:00 pm GMT
In this webinar we will review a flexible approach to measure the risk profile of a credit portfolio and understand the true sources of risk. We will perform robust scenario analysis to analyze how a credit portfolio is likely to perform relative to its performance benchmarks and key peers.
How a superior credit spread risk model supports risk and performance attribution
November 17, 2022, 11:00 am EST / 4:00 pm GMT
In this webinar, we will showcase how the Axioma Credit Spread Factor Risk Model supports hedging through duration, DTS, term structure and CDS. We will also build hedged portfolios and assess performance attribution.