The foundation of the Axioma Granular Fixed Income Model is innovative proprietary research, involving years of cleansing and organizing the underlying fixed income data. Our methodology transforms raw bond price data into stable, robust, issuer-level term structures of credit risk factors, based on highly accurate issuer credit spread curves.
Incorporating sophisticated outlier detection to extract signals from the thousands of curves, our next generation Axioma Granular Fixed Income Model provides a more accurate way to view, deconstruct and aggregate risk measures across portfolios for corporate, emerging market and credit-risky assets.
Duration Times Spread Model
Understand instrument level DTS risk exposure to proportional credit risk factor returns
An extensive history
Get data for more than 15-years of granular fixed income risk factors, all updated on a daily basis
Thanks to the stochastic time series smoothing algorithms, granularity is balanced with data quality
Breadth and depth
Comprised of 12,000 full term structure issuer curves across some 6,000 issuers and over 6,000 full term structure cluster curves across 30 currencies