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:
Monitor and manage risk through ex-ante risk decomposition
Construct Smart Beta strategies and tilt portfolios
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:
Identify the true sources of risk and validate your risk/reward profile
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
Model the risk of illiquid or newly issued securities and private placements
Identify securities trading significantly away from peers with the same sector/rating
Assess securities and issuers relative to similarly rated peers
Axioma Factor-based Fixed Income Risk Model
Better top-down risk analysis
Powered by Axioma Fixed Income Spread Curves, this cross-sectional factor model provides insights into systematic macro and style factor exposures.
Axioma Granular Fixed Income Model
A granular and accurate view of entity-specific risk
Built on proprietary curves methodology, view, deconstruct and aggregate risk measures across portfolios for corporate, EM and credit-risky assets.
Axioma Fixed Income 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.