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Risk Management Research

Credit Centric Alpha Portfolios

By Hugues Sauvé and Pierre-Philippe Ste-Marie

Credit-centric alpha portfolios have evolved rapidly in the last 15 years, with the introduction of credit derivatives at the turn of the 21th century and the quickly changing execution landscape after the 2008 credit crisis. Whether they derive from templates developed in other asset classes, or are tightly linked to the types of instruments involved in the credit markets, these portfolios have begun to attract considerable attention from the investment community as the volume in the underlying instruments has grown and the interesting risk-reward profile of the strategies has become better known.

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Multi Asset class Statistical Price Models

By Robert Hesselbo

As a quantitative credit-centric relative value trading advisor, Razorbill is constantly focused on discovering market dislocations across asset classes. For structural distortions affecting a small subset of the securities in the market, or that are produced on a large scale by market innovations such as the emergence of new derivatives markets or large scale deleveraging, typical excess return strategies usually play out over periods of months, quarters, and sometimes years. But with the last few years of innovation…

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