Stress Testing the Risk of Sovereign Debt


Date : Thursday 12th July 2012
Time : 10:00 (GMT+1) - 11:00 (CET) - 14:30 (IST) - 17:00 (SGT)
Venue : Online - Webex

The European sovereign debt crisis has not only highlighted immediate fiscal risks but also additional losses stemming from underlying connected counterparty and credit risk. Furthermore, the total impact of these losses is exacerbated when the integration between counterparty, credit, market and behavior risks is considered.

Institutions are increasingly implementing new scenarios to replicate possible extreme events associated with sovereign debt; the main aim of these is to measure the degree of their robustness for absolving the corresponding losses.

In this webinar, Ioannis Akkizidis, Global Product Manager, Wolters Kluwer Financial Services’ FRSGlobal, discussed the main elements of stress testing sovereign risk, highlighting the following issues:

  • Measuring exposure to sovereign risk
  • Stressing credit ratings & spreads on sovereign debt instruments
  • The role of probability of defaults, collaterals, CVA, behavior and market stress sovereign risk analysis
  • Systemic risk analysis under stress sovereign risk
  • Wrong way risk as a result of stress sovereign risk
  • Valuation issues in measuring sovereign debt
  • The role of integrating analysis in stress testing sovereign debt risk

Stress Testing the Risk of Sovereign Debt
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