RavenPack showcases untapped sources of alpha for corporate bond portfolios at MathFinance Conference 2023

March 14, 2023

Hear from our Head of Quantitative Investment Strategies on how incorporating sentiment-based strategies in bond selection help navigate volatility.

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The 23rd MathFinance Conference in Frankfurt on February 13th and 14th. Among the topics discussed this year are machine learning in derivatives pricing, crypto exotics markets,risk estimation, theta and climate finance.

Anmar Al-Wakil, RavenPack's Head of Quantitative Investment Strategies will showcase our latest research on the impact of credit-related announcements on corporate bond price. Relying on sentiment-based trading strategies that analyze media content, we found that this innovative approach can bring annualized returns amount to 200 bps above the annual credit benchmark at a two-day holding period, and 90 bps at the one-week holding period.

Contact us ahead of the event to meet with Anmar.

When: 13-14 March 2023

Where: Frankfurt School of Finance & Management

See full agenda here .

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Anmar Al-Wakil
VP, Head of QIS

Pricing the Market Impact of Credit Events in Corporate Bonds

14 March 2023 | 11:35AM

Anmar is Vice-President and Head of Quantitative Investment Strategies at RavenPack. His team focuses on building alpha-generating strategies across equities and credit using alternative data. Before joining RavenPack, he developed quantitative investment strategies for institutional investors at Natixis Investment Managers.

Anmar holds a PhD in Quantitative Finance from the University of Paris Dauphine-PSL. He has written articles in portfolio selection, machine learning, and asset pricing. He won the Best Doctoral Paper of the Multinational Finance Society in 2017. He is also an Associate Professor at the University of Paris-Est where he heads the MSc in Portfolio Management.

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