Flirting with Models Jeff Rosenberg – The Past, Present, and Future of Systematic Fixed Income (S7E19)
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Aug 18, 2025 Jeff Rosenburg, Managing Director at BlackRock, is a leader in active and factor investments for systematic fixed income. He discusses the evolution of quant fixed income, detailing its journey from sell-side to buy-side strategies. Jeff highlights the significance of characteristic specificity in fixed income and how ETFs have revolutionized liquidity. He also explores the challenges of integrating equity models into fixed income, emphasizing the nuances of factor neutralization and adapting to changing market dynamics. Expect insights into the future of fixed income investing!
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Formative Crisis Shaped A Quant Path
- Jeff Rosenburg began in mortgage-backed securities and lived through the 1994 mortgage market meltdown, which shaped his focus on understanding models deeply.
- That crisis convinced him to pursue stronger quantitative skills to avoid being mystified by new financial innovations.
Fixed Income Is A Forest Of Markets
- Fixed income is many markets with distinct cultures, instruments, and quantitative paths rather than one unified history like equities.
- Different segments (rates, mortgages, securitization, credit) each birthed their own quantitative toolkits and models.
From KMV To Bond Risk Pricing
- At Credit Suisse Rosenburg adapted Merton/KMV ideas to price corporate bonds as risk-pricing rather than pure default predictors.
- That shift made quantitative credit models relevant to mark-to-market credit desks, not just bank loan default forecasting.
