Home An Introduction To Stress Testing Oil Prices, Default Probabilities And Credit Spreads
 

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An Introduction To Stress Testing Oil Prices, Default Probabilities And Credit Spreads

2016-03-31 00:37:08| Paper - Topix.net

The last 18 months have been a dramatic period of oil price volatility, with nine of the 10 riskiest rated firms of the world coming from the energy sector. This note shows the best practice procedures used by Kamakura Corporation in stress testing a macro factor, like oil, to get movements in default probabilities and spreads.

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