Credit Spread Risk Models
Parsimonious factors or a granular issuer-based approach
Powered by proprietary methodologies for issuer classification and spread curve construction
Axioma Credit Spread Risk Models enable portfolio and risk managers to better understand credit risk through either a parsimonious factor lens (Axioma Credit Spread Factor Model) or a granular issuer-based (Axioma Granular Credit Spread Curve Risk Model) approach.
Key differentiators
Meaningful risk factors
Insight into portfolio risk can be gained from statistically significant factors (market, sector, quality, country) or attributed to individual issuers.
Superior risk estimation
The Axioma Credit Spread Factor Model captures granular bond-level specific risk combined with issuer specific risk through estimated residuals returns; the Axioma Granular Credit Spread Curve Risk Model embeds issuer specific risk in curve node returns.
Risk differentiation across spread regimes
Beyond DTS, risk is further differentiated across quality factors and individual issue spread curves.
Models built on issuer spread curves
Bond exposures and the Axioma Granular Credit Spread Curve Risk Model risk factors are generated from full term structure spread curves; the Axioma Credit Spread Factor Model return estimation is based on 10,000 issuer spread returns.
Factsheet
Axioma Credit Spread Risk Models
From risk management to index replication, you have the choice of two different models to reliable capture systematic and issuer specific credit risk.
Get factsheetRequest a demo
Related content
