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Starting Points for Systematic Credit and Fixed-Income Investing

Article Quant Q&A · Author: Medan
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Summary

The document seeks introductory resources on systematic strategies in fixed income, with particular interest in corporate bonds, options, and foreign exchange. The replies point to a research paper on systematic credit investing that covers investment-grade and high-yield corporate bonds as well as credit default swaps. They also suggest factor-based fixed-income risk models from analytics providers as another route into systematic analysis.

These recommendations outline two useful entry points: research on systematic credit strategies and quantitative factor models for measuring fixed-income exposures. The document does not summarize either approach, compare their performance, or provide evidence about how well they work in practice. It is therefore a reading list rather than a strategy guide, and the cited resources may address only part of the original interest in options and FX.

Key ideas

  • Systematic credit research can cover investment-grade and high-yield corporate bonds as well as credit default swaps.
  • Factor-based fixed-income risk models are another resource for systematic analysis.
  • The suggestions are starting points for further reading, not a comparison of strategies.
  • The recommendations do not fully address the stated interests in options and foreign exchange.

Tags

Fixed incomeFactor investingStatisticsDerivatives pricing
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# systematic trading reading fixed income


# systematic trading reading fixed income












I would like to expand my knowledge on systematic strategies in fixed income. I know there are a lot of articles on equity but these markets are different and I would like to know more. Are there good summary books or summary papers? Mainly interested in corp bonds, options, FX.

## Answer by Sharad (score 5)

https://quant.stackexchange.com/a/76227

AQR Capital Management has a number of good papers on the general topic of systematic investing. In particular, you might find "Systematic Credit Investing" by Frieda and Richardson (easy to find on the Internet) interesting; it addresses both corporate bonds (investment grade/high yield) and CDS.

## Answer by pyCthon (score 2)

https://quant.stackexchange.com/a/76245

In addition to the other answer, many of the risk & analytics vendors sell factor based fixed income risk models which can be used in systematic ways.

https://www.msci.com/www/research-report/msci-fixed-income-factor-model/0655159886

https://qontigo.com/wp-content/uploads/2020/09/AXI_FS_FI_Factor-Based_R1-FINAL.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.