Certainty in an uncertain world

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Case Studies

Sound advice in a changing world

Credit Portfolio Optimization

A London-based bond fund came to us to help them develop a quantitative way of managing their bond portfolio. Being experts in the area of credit risk they already had a powerful simulator of bond defaults. We added value by leveraging this embodied knowledge to produce an optimization system for bond portfolios using their simulator for forward scenario generation. We were able to provide them with a portfolio management tool that improved their portfolio performance in backtesting and offered them a quantitative way to control their portfolio based on a range of quantitative risk measures (including variance, CVaR and expected shortfall)