Rethinking Counterparty Credit Risk Exposure Stress Testing

Traditional counterparty credit risk (CCR) stress testing frameworks have significant limitations in their treatment of collateral, wrong-way risk and exposure timing.

Read this best practices report from SS&C Algorithmics to explore a more decision-relevant approach and benefit from a more realistic approach to counterparty credit risk stress testing.

• Capture exposure dynamics across the full margin period of risk.

• Stress collateral realistically, accounting for delays, disputes and valuation shifts.

• Connect stress-test outputs to concrete risk-management decisions.