Measuring Fixed Income Volatility


Title: Measuring Fixed Income Volatility

Duration: 1 Hour

Register For On-Demand

The equity market has long had the VIX Index as a measure of its volatility and a benchmark for tracking future uncertainty in U.S. equity returns. Until recently, however, the fixed income market did not have suitable volatility measures that could address the market’s term and credit structure.

Join us for a webinar in which we will introduce four measures of fixed income volatility covering North American investment grade credit, North American high yield credit, 10-year U.S. Treasury and interest rate swap markets. Our panel of experts will discuss market dynamics, features of each index and their applications to portfolio management.


Lynn Bachstetter (Moderator)
Senior Director, Insurance
S&P Global Market Intelligence


Michael Mollet
Senior Director, Product Development
Cboe Global Markets

Brian Luke
Global Head of Fixed Income Indices
S&P Dow Jones Indices


Yoshiki Obayashi
Managing Director, Head of Research
Applied Academics


Cristiano Zazzara Ph.D.
Managing Director, Head of Risk Services EMEA
S&P Global Market Intelligence

Dr. Cristiano Zazzara is Managing Director and Head of Risk Services Relationship Management, focusing on key market stakeholders, including C-level Executives and Regulators. He is an expert in financial risk management with over 20 years’ experience at banks, government agencies, service providers, Universities and think tanks.

Cristiano joined S&P Global Market Intelligence from MSCI Risk Metrics where he was the Head of Market, Credit, Counterparty Risk and OTC Clearing Business for the EMEA Banking sector and Global Head of Credit Advisory Business for Buy-side and Sell-Side Institutions. Previously, he was Managing Director in the Research & Strategy Unit of Unicredit Group, Managing Director and Head of the Internal Rating Unit at Capitalia Banking Group, and General Manager of the Italian Association of Banking and Finance (ASSONEBB). Dr. Zazzara also served as a financial economist at the Fondo Interbancario di Tutela dei Depositi, where he was the Head of the Research Department.

Dr. Zazzara received a BSc in Economics & Business and a MSc in Banking from the University La Sapienza of Rome, and a PhD in Management (Finance) from the Swiss Federal Institute of Technology in Lausanne (EPFL).

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