question

Remion Laetitia RaisePartner avatar image
Remion Laetitia RaisePartner asked ·

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
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Remion Laetitia RaisePartner avatar image
Remion Laetitia RaisePartner answered ·

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 comments
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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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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

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Szymon Patacz avatar image
Szymon Patacz answered ·

Hello Laetitia,


Could you provide more details on the issue?

Is it related to a specific dataset you are using?


Best Regards,

Szymon

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