To analyse credit risks with greater precision, we developed a pricing model last year to capture the influence of environmental, social and governance (ESG) factors on credit spreads. It showed a convincing relationship between ESG risk and credit spreads, manifesting as an ESG-risk curve.
Not all risk models are built alike. Here, the Global Equities team provide an overview of their proprietary MultiFRAME risk model. During periods of market stress, they argue, it can cut through the noise to provide a true picture of underlying exposures.