RFE: Conference Listings

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- Basel Committee on Banking Supervision

Dates:March 07-07, 2008
Description:Workshop on Stress Testing of Credit Risk Portfolios
Location:De Nederlandsche Bank, Amsterdam, Netherlands
Subject:The topic of the conference is stress testing of infrequently traded credit risk.The programme committee encourages the submission of papers in the following areas: - Link between macroeconomic risk and portfolio credit risk - The use of multi-factor credit risk models in stress tests - Design of appropriate stress scenarios - Pricing of infrequently-traded credit portfolios - Joint modelling of default probability and correlation - The use of stress tests to measure concentration risk - Stress testing approaches that integrate market and credit risk - Systematic and idiosyncratic recovery risks and portfolio stress testing [gem╠_╠┘ den Informationen des Anbieters - according to site editor's information]
JEL Code:G


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