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Hamed Faquiryan

Hamed Faquiryan
Vice President, MSCI Research

About the Contributor

Hamed Faquiryan is a Vice President in the Fixed Income and Multi-Asset Class Research team. He focuses on risk modeling and factor research for credit assets. Hamed previously was a researcher at the Federal Reserve Bank of San Francisco concentrating on financial markets and institutions. He has an M.Sc. in Economics from the Barcelona Graduate School of Economics and a B.A. in Economics/Mathematics and Philosophy from the University of California at Santa Barbara.

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Contributions by Hamed Faquiryan

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  1. BLOG

    Hertz So Good? 

    Sep 30, 2020 Hamed Faquiryan , Manuel Rueda

    Fixed Income , Risk Management

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    We look at the unusual bankruptcy of Hertz Global Holdings Inc. — whose equity rallied in early June, when holders of Hertz bonds were expecting losses as high as 90% in default — to discuss the importance and subtleties of firms’ capital structures.

  2. BLOG

    Up in Smoke? Brazil’s Wildfires May Affect Bond Spreads 

    Jul 10, 2020 Mario López-Alcalá , Hamed Faquiryan

    ESG Research , Fixed Income , Risk Management

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    Clearing Brazilian forests to make way for agriculture may spur a backlash to soy and beef producers if purchasers impose deforestation-free rules. What are the potential implications for debt of affected companies and for Brazilian sovereign debt?

  3. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

    Fixed Income , Risk Management

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    As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

  4. BLOG

    Are EU corporate bonds all alike? 

    Nov 27, 2019 Hamed Faquiryan

    Economic Exposure , Fixed Income , Risk Management

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    The integration of the eurozone’s economy may tempt investors to view corporate debt issued by European companies as undifferentiated. On average, this view has seemed correct — but not always durings times of market stress.

  5. BLOG

    Bank loans: Will crisis follow the search for yield? 

    Jun 27, 2019 Hamed Faquiryan

    Risk Management , Fixed Income , Models/Client Cases

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    In the post-2008 search for yield, investors have taken on considerable exposure to leveraged bank loans. We assess whether these loans pose systemic risk in the way subprime mortgages did during the last crisis.

  6. BLOG

    Venezuela and the Specter of Recovery Risk 

    Feb 14, 2019 Manuel Rueda , Hamed Faquiryan

    Fixed Income , Global Investing , Factor Investing

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    Venezuela unfortunately finds itself on the verge of political and economic collapse. From the perspective of investors in the country’s sovereign and corporate bonds, recovery risk is now likely a bigger consideration than default risk.

  7. BLOG

    What if credit spreads widen? 

    Aug 21, 2018 Hamed Faquiryan

    Fixed Income , Risk Management , Integrated Risk Management

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    Despite robust economic growth in the U.S., market conditions — as defined by tight spreads and high valuations — have wary credit investors on the lookout for trouble as the credit cycle matures. One area of scrutiny is BBB-rated credit, which sits in the middle of the rating hierarchy. Should spreads suddenly widen, investors may want to be prepared for a potential wave of BBB credits cascading into the high-yield market.

  8. BLOG

    What’s driving high-yield spreads? 

    Jun 14, 2018 Hamed Faquiryan

    Fixed Income

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    The recent trend in high-yield market spreads appears to relate more to concern about rising rates than the potential for credit losses. However, investors should be aware that the impressive recent performance of short-dated high yield bonds and floating-rate leveraged loans may be reversed if credit conditions begin to deteriorate.

  9. BLOG

    Leveraged loans: Risks, rewards and investor protections 

    Jan 11, 2018 Hamed Faquiryan

    Fixed Income

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    As central banks continue to keep interest rates at historic lows, many institutional investors have turned to leveraged loans for their attractive yields.

  10. Leveraged loans have emerged in the last decade as an attractive alternative to the typical high yield bond allocation. In periods of low and rising interest rates, the floating coupon of a leveraged loan portfolio offers an appealing combination of income and low duration. Indeed, loans have outperformed high yield bonds on a risk-adjusted basis in the recent past. As senior, secured obligations of corporate borrowers, loans also typically exhibit a high recovery in the event of default, and thus have a measure of downside protection.

    Yet loan investors face distinctive risks. Loans are distinguished by a wide variety of embedded optionality, most importantly by their American calls and coupon floors. Most loan investors rely on rules of thumb when calculating analytics, but these can obscure important asset-level dynamics. Furthermore, bond-based proxies of loan risk can have biased correlation and volatility estimates due to differing liquidity profiles and market technicals.

    To address these shortcomings, the new MSCI leveraged loan model takes the next step beyond trader heuristics to provide quantitative insight into the risk and performance of loans. We have partnered with IHS Markit to obtain class-leading data and coupled it to a novel pricing model with loan-specific risk factors. In total, our new offering provides next-generation analytics, purpose-built for loans.

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