S&P Valuation and Risk Strategies, the analytics arm of Standard & Poor’s, announced the debut Risk-to-Price, an evaluation benchmark aimed at helping corporate bond investors measure how well they’re being compensated through yield.
The firm said the new platform models the behavior of option-adjusted spreads in conjunction with the probability of default and the volatility of the bond. The higher a bond’s Risk-to-Price score, the better a security is projected to compensate owners relative to underlying market and credit risks, S&P VRS added.
“The Risk-to-Price score allows fixed income investors to gain a more granular perspective than ever before on how well they are being compensated for the risks they are exposed to in their portfolios,” S&P VRS managing director Michael Thompson said in a statement. “We developed the methodology in direct response to the credit crisis to investors a common vocabulary for communicating and understanding market and credit risk components of their holdings.”
As the Senior Editor of Advanced Trading, Justin Grant plays a key role in steering the magazine's coverage of the latest issues affecting the buy-side trading community. Since joining Advanced Trading in 2010, Grant's news analysis has touched on everything from the latest ... View Full Bio