Pricing of stresses for bonds / credit derivatives / securitizations

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Remion Laetitia RaisePartner asked Aug 24, '20

Pricing of stresses for bonds / credit derivatives / securitizations

Hello,

In order to compute SCR credit, we need the pricing of stresses for :

1/ Bonds

2/ Credit derivatives

3/ Securitizations / Titrizations

How could we get them ?

Regards,

Laetitia.

Dataset

10 |600

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Answer 1 · 2020-08-26T07:49:23Z

Szymon Patacz answered Aug 26, '20

Hello Laetitia,

Could you provide more details on the issue?

Is it related to a specific dataset you are using?

Best Regards,

Szymon

10 |600

Attachments: Up to 8 attachments (including images) can be used with a maximum of 1.0 MiB each and 10.0 MiB total.

Answer 2 · 2020-08-28T09:43:11Z

Remion Laetitia RaisePartner answered Aug 28, '20

Hello Szymon,

In fact, it is not related to a specific dataset.

In SCR optimizer application, for each portfolio and its instruments, we compute SCR Market, with its 6 sub modules, including SCR Credit.

We can not compute SCR Credit because we miss data.

To compute SCR credit we need pricing of stresses for bonds, credit derivatives and titrization.

Best regards,

Laetitia.

2

10 |600

Attachments: Up to 8 attachments (including images) can be used with a maximum of 1.0 MiB each and 10.0 MiB total.

Szymon Patacz ♦♦ commented · Sep 02, 2020 at 09:31 AM

Hello,

Thank you for the explanation, we are contacting corresponding LOB.
I will post an answer as soon as we have more information on this.

Best Regards,

Szymon

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Szymon Patacz ♦♦ Szymon Patacz ♦♦ commented · Sep 11, 2020 at 11:12 AM

Hello,

Your request has already been opened as an enhancement by corresponding LOB. I will get back to you as soon as I will have possible delivery date for such enhancement.

Best regards,

Szymon

0 ·

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