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]|