Press Releases — April 27, 2022

Qontigo strengthens fixed income models suite with enhanced credit spread model

New York (April 27, 2022) – Qontigo, a leading provider of innovative risk, analytics, and index solutions, has enhanced its Axioma Credit Spread Factor Risk Model (Credit Factor Model) with the addition of credit default swaps (CDS) and increased factor coverage. The model results in better risk forecasting for asset managers, asset owners and hedge funds with portfolio exposure in the high yield and investment grade space.

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The Axioma Credit Spread Factor Risk Model can be accessed within Qontigo’s award-winning cloud-native enterprise portfolio risk management system, Axioma Risk, and has also been designed to work with portfolio optimization tools. For example, by uploading risk model and exposure files into the Axioma Portfolio Optimizer, users can achieve advanced portfolio construction goals such as minimizing benchmark tracking error while realizing desired exposure tilts.  

“The Credit Factor Model is built from our extensive collection of issuer credit curves,” said Chris Sturhahn, Chief Product Officer for Analytics. “Because our factors are derived from the most liquid part of each issuer curve, with bond specific risk estimated from the residuals of issuer curve returns instead of factors based on sector or index spread levels, our model has greater explanatory power for bond returns. The result is more accurate risk and meaningful performance attribution.”

Some key benefits of the enhanced model include: 

  • Rich Duration Times Spread (DTS)-based factor structure capturing the impact of market exposure, industry groups, country or region, and credit quality
  • Separate factor groups for USD IG, USD HY, Euro, Sterling and Yen
  • CDS basis factors to ensure consistent yet differentiated modeling of CDS and bonds
  • Superior specific risk estimation at both the issue and issuer level
  • Bond exposures generated from 12,000 issuer credit spread curves and a proprietary issuer identification methodology that determines bond-to-issuer mappings


In addition to the Axioma Credit Spread Factor Risk Model, a bottom-up, curves-based granular risk framework known as the Axioma Credit Spread Curve Risk Model is also available. Both versions are part of the Axioma family of fixed income models which includes coverage for sovereign debt, derivatives, MBS, structured debt, commodities and other asset classes.