July 29, 2020
In this webinar, Christoph Schon demonstrated how quantitative tools, such as factor risk models and stress tests, can be used to make sense of the recent market environment. He showed how rising concerns about debt levels and dividend cuts meant that traditionally ‘defensive’ sectors, such as Utilities and Real Estate underperformed, whereas previously risky industries, such as Info Tech, benefitted from the ‘new reality’.
Extensive central-bank support reduced borrowing costs by lowering both sovereign yields and credit risk premia, but provided only limited benefits for highly leveraged companies. Corporate-bond risk, meanwhile, became entirely dominated by credit-spread fluctuations, with little or no impact from risk-free rates.
Executive Director, Applied Research