Webinar: Extensions of CreditMetrics Methodology: Developing Deeper Credit Risk Insights, OCT 15, 11AM EDT

WEBINAR: EXTENSIONS OF CREDITMETRICS METHODOLOGY: DEVELOPING DEEPER CREDIT RISK INSIGHTS

Please join us for a webinar focusing on RiskMetrics® CreditManager, and the underpinning CreditMetrics methodology, which has been used by practitioners for years to help quantify credit migration and default risk at horizons of one year and longer.

Recent extensions to the CreditMetrics methodology allow for deeper insights into credit risk.

Agenda Topics

  • Parameter Selection and Validation: Is Definition of ‘Risk’ Appropriate in Terms of Quantile Used and Correlation Modeled?
  • Correlated Recovery: A Must, or Too Much? Should Recovery Rates Depend on Market Factors?
  • Concentration Add-Ons: How Much Risk is Driven by Concentration?
  • Interpreting Economic Capital Contributions: What Factors Drive Risk at a Given Quantile?

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