Integrated Market & Credit Risk 2023 | MSCI Inc. | 20 June 2023 | Virtual Event
Venue
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| Event Date | Tue Jun 20 EDT (over 1 year ago) |
| Location | Virtual Event |
| Region | All |
Details
Actively traded portfolios with assets held for long periods pose a challenge for risk management, since they are subject to both price changes due to market movements, and losses arising from waves of default events. Asset owners and asset managers are increasingly demanding a unified view across time horizons and sources of loss, instead of heuristic combinations of results from separate models based on traditional distinction of the risk types.
In this webinar, we introduce our model for describing the joint distribution of market movements and defaults, leading to a single enterprise-wide risk management solution. We demonstrate how the model enables the analysis and fair comparison of portfolios with various credit qualities, without making assumptions on the dominance or independence of risk types.
Agenda topics:
• Value in integrating market and credit risk
• MSCI’s Integrated Market & Credit (IMC) risk model
• Real-world and data driven examples of the IMC approach
Speakers
2023 Speakers
Gayatri Bhatia
Senior Associate, Client Coverage, MSCI
Mallikarjun Choudhary
Executive Director, Client Coverage, MSCI
Andras Rokob
Vice President, Risk Management Solutions Research, MSCI