November 12, 2020
11:00 AM ET | 4:00 PM BST
Qontigo have developed granular and factor-based fixed income risk models based on a rich set of robust, issuer-specific credit spread term structures and a proprietary issuer-classification algorithm. Following a brief summary of the underlying data components, David Antonio will review the risk model construction and discuss the merits of both approaches, and comparisons with other more traditional approaches. He will provide examples of the application of the risk models to risk measurement, risk attribution and portfolio construction use cases.