Raising the Bar for Loan Risk Analytics
In today’s low and rising interest rate environment many investors are turning to syndicated loans as an attractive investment. However, prevailing rules of thumb in modeling the risk of loans are insufficient. Missing from the formula are key components that differentiate loans from other high yield investments, such as call risk and sector-specific spread factors.
Join Brian Bailey, MSCI’s Executive Director, Fixed Income Product Management, Andrew DeMond, MSCI’s Executive Director, Multi Asset Class Research and Kiet Tran, IHS Markit’s Head of Fixed Income Pricing, who will present a new approach to modeling loan risk by using granular loan data to develop a prepayment model, pricing model and loan-specific risk factors.
- An Analysis of Investment Trends Through the Lens of IHS Markit’s iBoxx Loan Indices
- The Role Data Plays in Developing a Risk Model that Reflects Market Conditions
- MSCI’s New Approach to Modeling Syndicated Loan Risk Using Loan-Specific Risk Factors
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