Analytics Solutions

Fixed Income Risk Models

Flexibility of granular and factor analysis for more incisive results across your fixed income assets

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With growing demand for risk models to support benchmark tracking, hedging & tilting, factor-based risk & performance attribution and risk monitoring, our fixed income suite of models has been rigorously tested for power in explaining returns and driving portfolio construction.

Our fixed income coverage spans rates, derivatives, credit, structured debt and MBS and can be accessed within our enterprise risk management system, Axioma RiskTM, or through file delivery of the Axioma Global Multi-Asset Class Risk Model.

The fixed income risk model solution includes:

Curve Risk Models with key rates as risk factors:

Factor Risk Models estimated through cross-section regression:

  • Credit spreads captured through sector, region, quality and market factors – Axioma Credit Spread Factor Risk Model
  • MBS spreads captured with sector spread, refinance and turnover factors – Axioma MBS Spread Factor Risk Model

Spotlight on credit:

Asset managers will find the top-down Axioma Credit Spread Factor Risk Model gives superior insight into risk decomposition while enabling rigorous portfolio construction to control tracking error to benchmarks or manage exposure to factor risk.

Risk managers and hedge fund managers will find the bottom-up Axioma Credit Spread Curve Risk Model gives them a more detailed way to view risk in support of issuer-level risk attribution, risk budgeting and stress testing.

The two models are derived from the extensive set of Axioma Credit Spread Curves, giving different but complementary and consistent views of risk.

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