Jun 2017

  • June 7, 2017

    Recording- Credit spreads: where are they going as the Fed hikes rates?

    Presenter: Christoph V. Schon, CFA, CIPM, Executive Director, Applied Research

    In this webinar, Axioma's Christoph V. Schon, Executive Director of Applied Research, looked at investors’ concerns that corporate bond risk premia are currently very low and explored a number of scenarios on where credit spreads might be going in anticipation of further Fed rate hikes this year.

    He used a number of historic precedents – including the bond market sell-off of 1994, the spread rally in 2004 and the recession of 2007-2008 – to stress test a USD-denominated multi-asset class portfolio and examined the similarities and differences between those scenarios and the current risk environment

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    As Executive Director of Applied Research, Christoph Schon generates insights into recent risk trends with a particular focus on fixed income and multi-asset class analysis. As the author of the weekly multi-asset class edition of Axioma’s Risk Monitor highlights, Christoph reports on equity, fixed-income, currency and commodity market developments around the world and how these affect the risk of a global multi-asset class model portfolio. In addition, he produces periodic special reports on topics that are of general interest to the investment community. He is also a regular speaker on risk and performance attribution topics at industry events. Christoph has been in the portfolio risk and performance analysis space for over ten years, having previously worked for Lehman Brothers/Barclays POINT and UBS Delta, where he held various roles as Marketer, Head of Client Services and Client-Facing Quant. He started his career in 2000 as a Fixed Income Research Analyst at Dresdner Bank in Frankfurt. He joined Dresdner’s FI index research group in 2002 and served as a member of the iBoxx European technical committee until 2006. Christoph has been a CFA charterholder since November 2007 and earned the CIPM designation in 2015. He holds a joint degree in electrical engineering and economics from TU Darmstadt in Germany. Brown