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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]
Notes:
JEL Code:
G
Sponsor:
URL:
http://www.bis.org/bcbs/events/rtf08stcfp.htm

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