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July 2018

In this webinar, Vishal Mangla and Sara Jiang describe an extension of the Moody’s Analytics credit portfolio framework to model spread risk along with credit risk.

Specifically, they 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 covers theoretical aspects of the framework with stochastic lambda, estimation of parameters, and impact of introducing stochastic lambda on realistic portfolios.

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Moody's Analytics Webinar: Joint Modeling Spread Risk and Credit Risk for Credit Securities

Join us as our experts cover an extension of the Moody’s Analytics credit portfolio framework to model spread risk along with credit risk. The presentation will cover theoretical aspects of the framework with stochastic lambda, estimation of parameters, and impact of introducing stochastic lambda on realistic portfolios.

July 24, 2018 WebPage Vishal Mangla
Whitepaper

Stress Testing a Securities Portfolio with Spread Risk and Loss Recognition

This paper introduces a framework for stress testing portfolios of credit risk sensitive securities. Specifically, the framework uses a macroeconomic scenario to project stressed expected losses (EL) on the securities by accounting for credit quality changes, recovery risk effects, fluctuations in market price of risk, and interest rates paths. The calculations are carried out analytically over multiple periods.

April 2016 Pdf Sunny Kanugo, Vishal Mangla, Libor Pospisil, Dr. Yashan Wang, Kevin Yang, Ian Ward, Jay Harvey