"Unifying risk and regulation" series :
Credit risk stress testing

Held on : 30th September 2010
Time : 11:00 CET
Venue : Online - Webex and phone (details sent upon registration)

event summary

The “Unifying risk and regulatory reporting” webinar series is designed to explain the issues associated with the ‘new’ regulatory environment that requires a significant amount of risk information as part of the standard regulatory reports.

This session focused on the topic of credit risk stress testing.

Credit risk played the major role in many financial crises including the most recent one, which brought its measurement and stress testing into the limelight again.

Banks as well as regulators are interested in increasing the accuracy and sophistication of the credit risk models and using them for sound and thorough stress testing of credit portfolios.

Webinar topics included:

  • Stress testing and Regulations I
  • Credit Risk in Financial Analysis
  • What to stress in credit risk?
    • Stressing Credit Exposures & Counterparties
    • Stressing risk mitigation - Credit Enhancements
    • Stressing ratings & credit spreads via default & migration probabilities
    • Stressing Market conditions & Credit risk spreads under Going Concern View
  • Credit Risk Portfolio Analysis
    • The interaction of stressed inputs
    • Measuring the effect of the stress
  • Stressing Securitization Credit Enhancements (CDO’s, etc)
  • Stressing Behaviour of Credit Facilities
  • Stressing behaviour in recoveries

Credit risk stress testing
  1. Register for the post webinar documentation for “Unifying risk management and regulatory reporting: Credit risk stress testing” webinar by completing the form below.
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Note

Attendees automatically receive a summary of the webinar, complete with results of on-line polls and questions submitted during the Q&A session, the PowerPoint slides used during the presentation, and a link to a recording of the webinar.

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