Under the Microscope: Examining the Coronavirus Through the Lens of Multiple Fixed Income Risk Models

The double blow of rising Treasury yields and exploding risk premia in March posed a serious challenge for corporate bond investors. Even the risk and returns of higher-quality securities—normally driven by changes in risk-free rates—exhibited a higher sensitivity to credit spreads. This could prove particularly dangerous for BBB-rated issuers, increasing the risk of so-called “fallen angels”.

In this webinar, Christoph V. Schon, Qontigo’s Executive Director of Applied Research, explained how the recent environment can be examined with a combination of fixed income risk models and stress tests.

Christoph V. Schon, CFA, CIPM
Executive Director, Applied Research

Qontigo