AFII Research
We conduct research in a hybrid model, where we seek to apply the intellectual stringency of academia on market based questions, and try to bring practical relevance to traditional academic work.
Green Bond Risk Premiums: A Twin-Bond ULFP Approach
This paper develops a novel method to price and investigate the green bond risk (spread) premium based on historical volatility. It applies the methodology for a number of twin-bonds with special emphasis on how the bonds fared during the covid-19 market volatility in 2020H1. SSRN link: https://www.ssrn.com/abstract=3624591
Credit alpha and CO2 reduction: A portfolio manager approach
For reference, published prior to the launch of AFII.
This paper develops the ECOBAR model to conduct practical carbon intensity reduction in complex fixed-income portfolios without affecting alpha generation capacity. In the empirical part, ECOBAR is applied on a real traded credit portfolio as well as a broad long-short derivative strategy, and shown to be not reducing the alpha opportunity set in a significant manner. SSRN link: https://www.ssrn.com/abstract=2987772 and YouTube GRASFI presentation https://www.youtube.com/watch?v=kIoY4KBoAhY
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