With fundamental and statistical variants for country, region and global models, at varying time horizons, along with macro
Built off the back of years of proprietary research we’ve tackled the key challenges inherent in credit curve construction today. Our innovative methodology which includes peer-consistent estimation, Level Reverting Noise Reduction algorithm, outlier removal and a risk entity master, helps to ensure a clearer signal from all the noisy data.
In addition to powering our Fixed Income and Multi-Asset Class Models, our Spread Curves have wide applications across asset managers, asset owners and banks and are available as either a flat file or within our enterprise market risk management system.
Comprehensive data across maturities and credit quality
Access over 12,000 issuer-specific curves and over 6,000 cluster curves
For your entire organization
Utilize granularity and dynamic updates across valuation, risk and reporting functions
Full entity mapping
Algorithm and logical approach ensures correlated entities (eg, subsidiaries of a common risk-return profile) are grouped together
Reduced model-based instability and artificial volatility
Addresses issues like ratings migration problems often seen in rules- based methodologies
More meaningful and robust shape
Thanks to a joint-estimation technique, term structure is aligned with liquid market comparables
Consume the data how you want to
Across RestAPI, file delivery or Axioma Risk, you have the flexibility to choose