Stress Testing and Credit Risk: Credit Migration and Correlation Risks

Please join us for a webinar focusing on credit risk. The goal of this presentation will be to explain how a  stress test can be developed to represent periods of credit ratings migration, increasing default rates and asset correlation.

We will demonstrate how Risk Metrics CreditManager functionality can be used to derive these stresses, which can be applied to one’s portfolio.  Sample portfolios will be tested and results will be analyzed.

Agenda Topics Include:

• Analysis of portfolio credit risks