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...

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...