Mathematical Finance & Financial Data Science Seminar

Quantitative Management of Credit Portfolios

Speaker: Arik Ben Dor, Head of Quantitative Equity Research, Barclays

Location: Online Zoom access provided to registrants

Date: Tuesday, May 16, 2023, 5:30 p.m.

Synopsis:

Quantitative techniques have long been used to measure and control risk in credit portfolios. More recently, interest has grown in a systematic approach to generating alpha in credit, with the promise of improved scalability and lower management expenses. We review several signals that seek alpha in credit, including value, equity momentum, equity short interest, and post-earnings announcement drift, and demonstrate that such strategies can effectively complement a more fundamental approach. We also show how systematic strategies can exploit index inefficiencies, such as the overselling and subsequent recovery of fallen angels. Company ratings on environmental, social, and governance issues have become central to portfolio management, and we discuss various aspects of their use: how to measure their performance, how to glean alpha signals from them, and how to most effectively constrain them. Finally, liquidity and transaction costs have always been key concerns for credit portfolio managers. We discuss how the liquidity landscape has evolved with the rise in exchange-traded funds and portfolio trading in corporate bonds. Putting it all together, we discuss portfolio construction techniques that can optimally combine signals and integrate transaction costs.

Speaker Bio:

Dr. Ben Dor is the Head of Quantitative Equity Research at Barclays and a member of the Journal of Portfolio Management and Journal of Fixed Income editorial boards. He co-authored 3 books on quantitative credit investing and published more than 20 articles in leading industry journals. In 2022, Dr. Ben Dor was ranked 3rd in II Fixed Income Research Survey in both the US and Europe in the Quantitative Analysis category and was also awarded a U.S. patent for work related to synthetic replication of hedge funds returns. Dr. Ben Dor oversaw large scale research projects in equities, rates, credit, and hedge funds used by the largest institutional investors globally including central banks, sovereign wealth funds, asset managers, insurance companies, pensions and hedge funds. His innovative work on Duration Times Spread (DTS) as a new measure of credit risk and the use of information from credit markets in systematic equity strategies was broadly adopted by portfolio managers and affected industry practices. Dr. Ben Dor worked previously at Lehman Brothers and Morgan Stanley. He holds a PhD in Finance from the Kellogg Business School at Northwestern University and completed his B.A. and M.A. in Economics from Tel Aviv University Cum Laude.

Notes:

This event is free, but requires registration. Please click here to register. You will then receive the Zoom link by email about a day or so before the event.