Powered by innovative spread curves research
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:
- Government interest rates
- Swap spreads
- Inflation rates
- Issuer credit spreads – Axioma Credit Spread Curve Risk Model
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.
Axioma Credit Spread Factor Risk Model
Construct investment portfolios with better top-down risk analysis
Powered by proprietary methodologies for defining debt-issuing entities and modeling issuer spread returns, the Axioma Credit Spread Factor Risk Model enables portfolio and risk managers to construct investment portfolios with better control for tracking error and to rigorously manage exposure to market, sector and region factors.
Axioma Credit Spread Curve Risk Model
Gain a granular and accurate view of entity-specific risk
The foundation of the Axioma Credit Spread Curve Risk Model is innovative proprietary research, involving years of cleansing and organizing the underlying fixed income data. Our methodology incorporates sophisticated outlier detection to transform raw bond price data into stable, robust, full-term structure issuer credit spread curves, from which key rate risk factors are derived.
Axioma Credit Spread Curves
A library of consistent, comprehensive spread curves
Innovative methodology for issuer curves to help you guard against model-based instability and artificial volatility.
Flexible, multi-asset, market risk management
A cloud-native, flexible system offering analytics and data in a unified platform for a consistent view across your firm.