Our Models
HY Risk Arbitrage
A total return credit framework designed to identify arbitrage opportunities in single name high-yield.
What it is
What is the HY Risk Arbitrage Model?
The HY Risk Arbitrage model is a proprietary analytical framework developed by 20Quant to identify valuation and risk dislocations in the US and European high-yield credit markets.
Developed internally starting 2007 with the GFC and successfully refined since then this model identifies discrepancies between fundamental risk and CDS price. It is designed to support relative-value and risk-aware positioning rather than directional credit forecasts.
Proprietary Model developed during the Global Financial Crisis
Grounded in management experience and with a proven track record on hy credit analysis, capital structure relationships, and cross-asset arbitrage.
Cross-Asset Diagnostics
Analyses the interaction between high-yield spreads, equity pricing, and macro signals to identify misalignments.
Absolute-Value Orientation
Focuses on absolute yield levels of specific cases.
Availability and coverage
HY Risk Arbitrage signals are available across major high-yield credit markets and integrated within our broader fixed income and risk-monitoring frameworks.
Why It’s Relevant
Interpreting credit risk beyond headline yields
High-yield markets can misprice risk during regime shifts and stress periods.
Beyond yield chasing
Distinguishes genuine risk compensation from yield driven by deteriorating fundamentals.
Early reaction on positive fundamental reaction
Identifies positive fundamental dislocations not yet fully captured by prices.
Direct input to clients
Provides structured, auditable inputs for disciplined credit investors.
