Risk measurement and modelling in times of crisis
We are experiencing unprecedented volatility in the markets, many experiencing asset losses and volatility spikes in close to or in excess of the global financial crisis of 2008.
Benefitting from Multiple Views of Risk in a Period of Crisis
No single risk model performs best in every circumstance — which is precisely why Qontigo provides clients with multiple views of risk that differ by horizon and by factor structure.
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 ...
Finding the Missing Link
In this blog post, we present two use cases to explain how Linked Models can enhance your investment process.