Journal of Credit Risk
ISSN:
1744-6619 (print)
1755-9723 (online)
Editor-in-chief: Linda Allen and Jens Hilscher

Need to know
- A framework which consistently and fully integrates market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup is developed.
- An appropriate definition of exposure, loss-given-defaults and loss-given-transfer-events provides a unified treatment of these three risk types.
- The framework discussed is generic and does not explicitly depend on the choice of the scenario generator.
- Generic and macroeconomical stress tests is directly obtained by selecting the paths for which the relevant risk factors are constrained by a priori given bounds.
Abstract
ABSTRACT
In this paper, a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup is developed. An appropriate definition of exposure, loss given default and loss given transfer events provides a unified treatment of these three risk types. Implementable algorithms are presented, as is a comparison with industry standards and best practices. The framework discussed is generic and does not explicitly depend on the choice of the scenario generator. Generic and macroeconomic stress tests are directly obtained by selecting the paths for which the relevant risk factors are constrained by a priori given bounds.
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Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net