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Mark Schmude

Research and Insights

Articles by Mark Schmude

    Product Insight - Credit Risk Attribution Using RiskMetrics CreditManager - April 2013

    Research Report | Apr 10, 2013 | Christopher Finger, Mark Schmude

    Risk based pricing and performance evaluation rely on a meaningful capital charge for individual exposures.  While the capital statistics produced by complex, simulation-based models might be monotonic in any one parameter, it is not clear how these different parameters interact.  In this paper, we provide a framework for credit risk attribution that isolates the capital assigned to individual obligors according to distinct risk factors.  Utilizing CreditManager, we begin with...

    Stress Testing Market Report - Credit Risk: Default, Migration and Correlation Shocks - October 2012

    Research Report | Oct 26, 2012 | Audrey Costabile, Mark Schmude

    This stress test report uses CreditManager to examine the relative stability of sample credit portfolios. In a buy-and-hold context, our analysis suggests that 'book mode' generally produces lower risk figures that are more sensitive to ratings changes and correlation moves; conversely, in a mark-to-market context, 'migration mode' results produce larger risk figures that are less sensitive to ratings. In both test cases, the stresses demonstrate significant increases in capital, in the range...