Risk Management

Beware what lurks beneath the surface of low volatility

On Friday November 8, the VIX closed at 12.07, a level not seen since Q4 of 2017. The US economy and stock markets have once again outperformed those of every other developed country this year. And investment-grade corporate-bond spreads — although higher than in Q4 2017 — have all fallen from the highs reached at the end of Q4 2018. That ...

Posted 11.12.19 Olivier d'Assier

Finding the Missing Link

In this blog post, we present two use cases to explain how Linked Models can enhance your investment process.

Posted 07.11.19 Arnab Banerjee, PhD

Fixed Income factors: Why do we build credit curves?

We take a look at how we build credit curves to serve as a foundation for fixed income models and the advantages they have over some other methodologies.    

Posted 06.20.19 Alan Langworthy

The Truth About Fixed Income Factors

Traditional fixed income models are not well placed to live up to more advanced demands. So what to do?

Posted 06.03.19 Luca Bosatta