Analytics Solutions

Fixed Income Risk Models

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

Powered by innovative spread curves research

With growing demand for factor-based fixed income investing, our fixed income risk models are powered by a proprietary curve construction methodology that addresses the challenges inherent in other techniques.

We offer two fixed income risk models available as either a flat file or integrated into our enterprise risk management software, Axioma RiskTM.

Axioma Factor-based Fixed Income Risk ModelTM

Portfolio managers will find the top down approach enables better control for tracking error while helping to rigorously manage exposure to investment style factors

From sell-side quant teams to asset managers constructing benchmark-tracking ETFs, the Axioma Factor-based Fixed Income Risk Model can be used for:

Risk management

Monitor and manage risk through ex-ante risk decomposition

Factor-based investing

Construct Smart Beta strategies and tilt portfolios

Index replication

Create tracking baskets to replicate broad fixed income indices

Factor-based performance attribution

Attribute portfolio performance to the risk factors

Insights and research

Expose and explain risks not visible through traditional models

Axioma Granular Fixed Income Risk ModelTM

Risk managers and central risk book owners will find a bottom up approach gives them a more accurate way to view, deconstruct and aggregate risk measures

Suitable for portfolios with corporate, emerging markets and credit-risky assets, the Axioma Granular Fixed Income Risk Model can also be used by asset owners, portfolio managers and actuarial teams in a number of ways: 

Risk attribution

Identify the true sources of risk and validate your risk/reward profile

Risk budgeting

Accurately measure and monitor risk budgets with exposures from similar sectors not assumed to have the same risk

Risk control and hedging

Maximize decisions by hedging unwanted exposure

Proxy/matrix pricing

Model the risk of illiquid or newly issued securities and private placements

Implied ratings

Identify securities trading significantly away from peers with the same sector/rating

Relative-value analysis

Assess securities and issuers relative to similarly rated peers

Associated products

Additional resources