Multi-Period Credit Risk Analysis: A Macro-Scenario Approach
|Host: Juan Licari|
|Date: November 12, 2015|
|Time: 9:00 a.m. ET / 2:00 p.m. GMT|
SPONSORED BY PRMIA • NOVEMBER 12, 2015 • 2:00 PM GMT
Dynamic stress testing and multi-period credit portfolio analysis are increasingly becoming priorities for risk managers. However significant challenges emerge when it comes to building stochastic multi-period environments.
In this presentation, Dr. Juan Licari of Moody’s Analytics will present an innovative framework for stochastic scenario generation that allows risk managers and economists to build multi-period environments, integrating conditional credit and market risk modeling to meet dynamic stress testing needs.