The dynamic nature of credit determines the trajectory of an economy, which impacts the behaviour of assets through time. This includes asset values appearing to behave in a random way, demonstrating periods of long term memory and also periods of chaotic like behaviour. This has significant implications for the way in which credit portfolios and complex credit assets are managed.

Our credit-based macroeconomic model estimates the extent of implied systematic risk by country based on the cumulative effect of credit disequilibrium. This approach provides more insight into the nature of unexpected losses as the business cycle shifts, enhancing the risk management of credit portfolios and complex assets.

With respect to individual assets, we focus on the valuation of complex structures that can have a significant feedback loop on the economy and are highly illiquid including project finance and infrastructure assets.