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 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 Risk^TM, 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.

Associated products

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.

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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.

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