Index innovation - BNP Paribas

Given that the past year’s financial crisis originated in credit markets, interest rates have been a central part of the narrative. Erratic movements in rates increased the importance of accurate tracking models that can capture trends. The problem is that those same movements have made the tracking process more difficult.

BNP Paribas has netted this year’s index innovation award with a new index designed to tackle this obstacle. The bank has three strategies that observe movements in interest