It has long been accepted that factors can be used to model equity risk, and their use is relatively widespread. The use of factors to model credit spread risk, however, is yet to become mainstream.
During this session, Qontigo’s Alan Langworthy will talk about some of the work Qontigo has been doing to build a factor model for corporate bonds. He will cover some of the similarities with equity factor models, some of differences and additional challenges the corporate bond world presents, and how Qontigo is solving some of those problems.
Location and time
This event will be hosted online. 30 June, 16:00 - 17:00