Deutsche Börse’s Qontigo announces factor-based fixed income risk model

Qontigo has announced the integration of the Axioma Factor-based Fixed Income Risk Model in its enterprise portfolio risk management system, Axioma Risk. The cross-sectional style-based model is powered by proprietary methodology and allows intuitive risk and performance attribution analysis, as well as robust portfolio construction aligned with both passive and active strategies.

Owing to the lack of quality and consistency of fixed income data, bringing factor investing to fixed income has previously been a challenge, resulting in models with thin rules-based sector factors, strong sensitivity to ratings migration and volatility estimates dominated by noisy data.

The Axioma Factor-based Fixed Income Risk Model uses advanced modeling techniques to reliably capture systematic risk in a number of ways, including a more accurate issuer classification system and the estimation of bond specific risk from both issuer and issue-specific spread risk. The model has been designed to support a broad cross-section of the credit universe from investment grade, through to high yield and emerging markets.

“The Axioma Factor-based Fixed Income Risk Model enhances an already market-leading multi-asset risk platform and delivers an innovative solution to enable both a new style of fixed income factor risk management and factor-focused portfolio construction,” said Ian Lumb, Qontigo’s managing director and head of Multi-Asset Solutions, EMEA and APAC, in a statement. “Integrating the model in the cloud-based Axioma Risk platform as well as making it available in a portable flat file format for use in Qontigo’s leading optimizer or third party investment tools really is the best of both worlds for fixed income investors.”

Created in 2019 through the combination of Axioma, DAX and STOXX, Qontigo is part of Deutsche Börse Group.

Read the full release

Related Posts

Previous Post
ISDA and Clarus FT Launch Risk-free Rate Adoption Indicator
Next Post
How clearing technology firms are adapting amid regulatory and cost pressures (Premium)

Fill out this field
Fill out this field
Please enter a valid email address.

X

Reset password

Create an account