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Crucial in a Crisis' whitepaper
The ongoing COVID-19 pandemic has triggered a structural
shift in assessing risk. Its continuing aftermath has
caused many firms to look at how they conduct business - and use
data - with a new perspective.
Curves are a crucial component of trading, valuation and
risk management in fixed income. Government bond and
interest rate swap curves are integral to the rates market and
widely understood. Perhaps lesser known, but no less
important to many fixed income users, are credit curves
(also known as spread curves). These come in many forms:
bond issuer curves; bond sector curves; loan sector curves; and CDS
curves (both single name and sector).
The peak of the crisis in March 2020 underlined the need
for superior data; when the tide goes out the shortcomings
of some datasets get cruelly exposed. Banks and asset managers will
need to have confidence in the data fuelling their models.
Firms without such data will be at a competitive
disadvantage and exposed to unwanted scrutiny.