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Summer 2000
User's Corner
Examples and Applications of Closed-Form CDO PricingStress Testing in RiskManager
by Jessica N. Ree
more information...
Stress Testing Credit Risk Using CreditManager 2.5
by Rob Fraser
more information...
Methods and Applications
Toward a Better Estimation of Wrong-way Credit Exposure
by Christopher C. Finger
81 KB download
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Do Implied Volatilities Provide Early Warning of Market Stress?
by Allan M. Malz
96 KB download
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A Stress Test to Incorporate Correlation Breakdown
by Jongwoo Kim, Christopher C. Finger
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506 KB
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