Duration: 1 hour
Event Description:
In this webinar, we will describe an extension of the Moody’s Analytics credit portfolio framework to model spread risk along with credit risk. Specifically, we introduce the notion of stochastic market price of credit risk (“stochastic lambda”), which describes – together with credit migration – spread risk of a credit portfolio.
The analysis based on the framework with stochastic lambda will allow financial institutions to determine portfolio capital, allocate capital to individual exposures, and decompose capital into incremental effects reflecting default, migration, and lambda. The presentation will cover theoretical aspects of the framework with stochastic lambda, estimation of parameters, and impact of introducing stochastic lambda on realistic portfolios.
Speakers:
Vishal Mangla, Associate Director – Portfolio Research
Vishal Mangla is an Associate Director with Moody’s Analytics portfolio research team with focus on stress-testing bond valuation and credit impairment.
Sara Jiang, Assistant Director – Portfolio Research
Sara Jiang is an Assistant Director with Moody’s Analytics portfolio research team specializing in correlation modeling for credit risk for various fixed income asset classes.