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Jun 14, 2022

Integrated Market & Credit Risk: An Active Risk Management Dialogue

The economic impact of the COVID-19 pandemic, similar to the 2008 Global Financial Crisis, shows that correlations between market and credit factors tend to be more pronounced in extreme market conditions. In order to respond to, or even stay ahead of such impacts, an integrated approach to market and credit risk analytics is key to success.

May 21, 2020

When sweet can turn sour: a case for integrated market and credit risk management

Institutions invested in a broad range of corporate debt instruments can draw various business benefits from adopting an integrated market and credit risk view. The low-yield environment in major government bond markets (see Fig.1), combined with recent spread volatility increases, reinforce these aspects. For risk analysts, asset allocation experts, and fund managers, it means capturing in a single framework obligors’ rating migration and default situations, on top of yield curve shifts and spread-widening impacts. This integration should allow business stakeholders to blend risk factor and financial instrument info, build timely hedging strategies at the issuer level, or refine their portfolio overlays.

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