Analytics Products

Axioma Credit Spread Curve Risk Model

Gain a granular and accurate view of entity-specific risk

The foundation of the Axioma Credit Spread Curve Risk Model is innovative proprietary research, involving years of cleansing and organizing the underlying fixed income data. Our methodology incorporates sophisticated outlier detection to transform raw bond price data into stable, robust, full-term structure issuer credit spread curves, from which key rate risk factors are derived.

The Axioma Credit Spread Curve Risk Model provides a detailed way to view risk in support of issuer-level risk attribution, risk budgeting and stress testing across portfolios for corporate, emerging market and credit-risky assets

Key Benefits

Duration Times Spread model

Risk is calculated from instrument level DTS risk exposure to proportional credit risk factor returns

An extensive history

The risk model is supported by more than 20 years of issuer credit spread curve history, updated on a daily basis, ensuring an extensive capability for stress testing and historical simulation

Stability and robustness

Thanks to the stochastic time series smoothing algorithms and rigorous control of outliers, the extensive curve coverage is delivered with high quality

Breadth and depth

Risk factors are available from over 12,000 full term structure issuer curves across some 6,000 issuers, 30 currencies and multiple subordination tiers

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Axioma Credit Spread Curve Risk Model

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