Integrated Market & Credit Risk: A Model Across Credit Qualities and Time Horizons

Actively traded portfolios with assets held for long periods pose a challenge for risk management, since they are subject to both price changes due to market movements, and losses arising from waves of default events. Asset owners and asset managers are increasingly demanding a unified view across time horizons and sources of loss, instead of heuristic combinations of results from separate models based on traditional distinction of the risk types.

Replay this webinar where we introduce our model for describing the joint distribution of market movements and defaults, leading to a single enterprise-wide risk management solution, and demonstrate how the model enables the analysis and fair comparison of portfolios with various credit qualities, without making assumptions on the dominance or independence of risk types.