Quants warn on credit risk in stocks

Conventional models may be missing explosion in novel exposure

credit risk swings
Wild ride: coronavirus disruption has put corporate creditworthiness in a spin

The sensitivity of stock prices to a company’s credit standing has jumped to levels unseen in more than a decade, bringing to the fore a new source of risk for equity managers.

MSCI, which sells widely used equity risk models, says returns for the leverage factor in its global model made a 14 standard deviation move downwards in the past month, with highly levered stocks falling much more than less levered stocks. Not since the 2008 financial crisis has the market seen a jump of that size.


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here