Qontigo

Apr 27, 2022

News provided by Share this article Share this article NEW YORK, April 27, 2022 /PRNewswire/ -- Qontigo, a leading provider of innovative risk, analytics, and index solutions, has enhanced its Axioma Credit Spread Factor Risk Model ( Credit Factor Model ) with the addition of credit default swaps (CDS) and increased factor coverage. The model results in better risk forecasting for asset managers, asset owners and hedge funds with portfolio exposure in the high yield and investment grade space. The Axioma Credit Spread Factor Risk Model can be accessed within Qontigo's award-winning cloud-native enterprise portfolio risk management system, Axioma Risk, and has also been designed to work with portfolio optimization tools. For example, by uploading risk model and exposure files into the Axioma Portfolio Optimizer, users can achieve advanced portfolio construction goals such as minimizing benchmark tracking error while realizing desired exposure tilts. "The Credit Factor Model is built from our extensive collection of issuer credit curves," said Chris Sturhahn, Chief Product Officer for Analytics. "Because our factors are derived from the most liquid part of each issuer curve, with bond specific risk estimated from the residuals of issuer curve returns instead of factors based on sector or index spread levels, our model has greater explanatory power for bond returns. The result is more accurate risk and meaningful performance attribution." Some key benefits of the enhanced model include:  Rich Duration Times Spread (DTS)-based factor structure capturing the impact of market exposure, industry groups, country or region, and credit quality Separate factor groups for USD IG, USD HY, Euro, Sterling and Yen CDS basis factors to ensure consistent yet differentiated modeling of CDS and bonds Superior specific risk estimation at both the issue and issuer level Bond exposures generated from 12,000 issuer credit spread curves and a proprietary issuer identification methodology that determines bond-to-issuer mappings In addition to the Axioma Credit Spread Factor Risk Model, a bottom-up, curves-based granular risk framework known as the Axioma Credit Spread Curve Risk Model is also available. Both versions are part of the Axioma family of fixed income models which includes coverage for sovereign debt, derivatives, MBS, structured debt, commodities and other asset classes. About Qontigo --- Optimizing Impact™ Qontigo is a leading global provider of innovative index, analytics and risk solutions that optimize investment impact. As the shift toward sustainable investing accelerates, Qontigo enables its clients—financial-products issuers, asset owners and asset managers—to deliver sophisticated and targeted solutions at scale to meet the increasingly demanding and unique sustainability goals of investors worldwide. Qontigo's solutions are enhanced by both our collaborative, customer-centric culture, which allows us to create tailored solutions for our clients, and our open architecture and modern technology that efficiently integrate with our clients' processes. Part of the Deutsche Börse Group, Qontigo was created in 2019 through the combination of Axioma, DAX and STOXX. Headquartered in Eschborn, Germany, Qontigo's global presence includes offices in New York, London, Zug and Hong Kong.