This paper investigates the relationship between news sentiment and corporate bond yield spreads, including assymmetry and sentiment-based bond investing.

In this paper, we investigate the interaction between Refinitiv ESG scores of firms and the performance of corporate bonds issued by these firms. We provide a rather straight-forward analysis of the relationship between ESG scores and corporate bond yields.

This white paper addresses the question of the value of alternative data in the investment process with the Refinitiv News Analytics Data.

In November 2021, we organized a roundtable regarding the application of expert judgment and overrides in behavioral modeling of prepayments and savings, including interest rates, COVID-19, and elasticity of savings.

The goal of this paper is to show how sustainability considerations can be combined with multifactor investment strategies, and to demonstrate that adding sustainability considerations to these strategies does not diminish their performance.

In this paper, we explore sentiment in the framework of multifactor investment strategies. We investigate the relationships between sentiment-based and more traditional factor strategies and show that sentiment offers an additional signal that can contain information that is not incorporated in traditional investment factors.

This white paper addresses whether and how it is possible to measure a company’s or a portfolio’s contribution to specific goals (SDGs).

In this paper we describe AI fairness from a quantitative perspective, on the example of credit decision making – which candidates should receive a loan and which not – but the principles we will describe hold more generally in financial services. We explore the roots of bias in AI systems and present popular definitions of fairness adopted by the industry.

Svetlana Borovkova, our head of Quantitative Modelling, will be one of the speakers at the TopQuants event on the impact of COVID-19 on modelling.

In this paper we highlight the principle of Fairness – being crucial for financial institutes given the potential financial and regulatory risks, but even more concerning tremendous reputational risks – and
why it should be on top of mind for senior executives. We give guidance on how organizations can address AI ethics more proactively from a business perspective as well as in the model validation and
model risk management.