In times of market turmoil, several weaknesses of risk management systems that had been developed in relatively benign market environments have become apparent. As a consequence, the challenge today consists of refining and enlarging the traditional credit risk management repertoire on the one hand, and being more creative in the modeling and management of innovative credit products on the other hand. Furthermore, a successful risk management system will allow for the interdependencies between credit risk, liquidity risk and market risk and will contrast various quantitative analyses with qualitative considerations. This white paper focuses on the credit risk management part of an integrated enterprise risk management system.
- Internal Rating Systems
- Internal Credit Portfolio Models
- Stress Testing
- Credit Derivatives
- Securitizations and Asset-Backed Securities
- SAS® Solutions for Credit Risk Management
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