Credit Spread Var

Lever H?ll Lever H?ll

Lever H?ll

CEO

发布日期: 2022年7月18日
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Credit spread risk?is measured through a?parametric?VaR?approach?using sensitivities. This Credit Spread VaR?measures?the?specific?credit spread risk at a?constant?credit rating?for trading?and?AFS?positions.?Historical data?for each credit spread?bucket?is used to estimate the?volatility?for each?risk factor. These?estimations?are used to calculate a VaR (%-percentile)?based on the?same parametric?estimates?as in?the interest rate?VaR. Each position is?mapped?to a bucket based on its credit rating and its?sector.?The credit?spread volatility is?estimated?using historical data for each credit spread bucket based on?historically?observed?credit spread?movements. The?impact?on?the position’s?value?is?calculated?by using the?exposure’s credit spread?delta. The?result?for each position is?totaled?to?derive?the portfolio?impact and the?desired?VaR.

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