Market Risk Analysis: Exploring New Frontiers on Reference-Index-Based Market Risk

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Introduction

 

  • ARC’s Approach to Market Risk
    A credit rating typically focuses on analysing credit risk components of issuers and financial instruments. The market risk is typically excluded in the rating analysis. However, there are instances where market risk and credit risk may intersect which mandates a market risk analysis in order to properly assess the holistic credit risk exposure of a transaction.
  • Reference-Index-Based Market Risk Analysis
    Reference-index-based market risk analysis involves not only quantifying the market risk the transaction is exposed to, but also analysing the margin of error in projecting the future market risk using reference indices.
  • Transaction Case Study Illustrating Step-by-Step Approach
    This paper provides detailed and practical insight into ARC’s reference-index-based market risk analysis based on a fictional transaction case study.

Documents

Market Risk Analysis: Exploring New Frontiers on Reference-Index-Based Market Risk

13 May 2024

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