Christoph Schon, Axioma’s Head of Applied Research, EMEA

Enterprise risk management solutions provider Axioma has released an enhanced version of its Axioma Risk solutions which aims to enhance its fixed income and risk models. The new models have been created using Axioma’s proprietary methodology for modelling global fixed income returns across both developed and emerging markets.

“Building meaningful derived issuer-specific curves and market surfaces to construct risk models is notoriously difficult,” said Ian Lumb, Axioma’s Head of Risk Solutions. “We have spent years cleansing and organizing the underlying fixed income data to develop a proprietary methodology that solves for the main challenges that exist in other fixed income risk models and incorporated these techniques into Axioma Risk.”

According to the supplier, the new method aims to provide the consumers with a granular and accurate view of entity-specific risk. The detailed view is expected to allow portfolio managers, risk managers and central risk book owners to model and deconstruct corporate and non-corporate credit risk and portfolio risk respectively, at a granular level.

“Sub-entities of the same parent company can trade very differently,” explains Christoph Schon, Axioma’s Head of Applied Research, EMEA. “If you treat all entities the same across a given capital structure, then your fixed income risk model may be missing crucial information that can inform your investment process – things like diversification benefits and distressed assets. It is important to be able to identify these elements and to model their impact.”

Other features of the Axioma Risk Solutions’ updated version includes- market consistent pricing and analytics, full-revaluation stress tests and risk simulations, consistent classification etc.

Recently, Axioma Inc was acquired by Deutsche Börse for $ 850 million.

Founded in 1998, Axioma is a global provider of multi-asset class portfolio and risk management software solutions. The company delivers proprietary solutions and data services offerings to over 400 leading asset managers, asset owners, sell-side participants and hedge funds.

by Megha Bhattacharya
Market Analyst at IBS Intelligence
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