Credit Benchmark can provide Correlation Matrices that show the industry- and region-specific correlations within a pool. The correlation matrices are constructed using Credit Benchmark’s industry and region schema, offering a detailed view of concentration and correlation risk across your portfolio.
Though credit correlations have become more positive after the coronavirus pandemic, they’ve been dropping since late 2021. Nevertheless, challenges in achieving portfolio diversification are much more acute in the post-Covid period, writes Stelios Papadopoulos for Structured Credit Investor,
With default risks expected to rise in 2023, correlations between those risks are increasingly important for credit portfolio management. Exposures to different sectors – that normally diversify the portfolio – may show a simultaneous increase in risk during difficult economic conditions. This paper shows how Consensus credit data can be used to estimate credit correlations between regions, countries, industries, and sectors.
Credit portfolio managers face spiking interest rates and rising defaults, and contagion from one sector to another is a major concern. Consensus credit aggregates show how credit risk correlations between sectors are changing.
When equity markets turn down they will pivot towards companies with the highest credit quality. This analysis shows the relationship between equity market movements and credit risk for US corporates.
This is the first joint update on the Significant Risk Transfer (SRT) market from Credit Benchmark and Oxane Partners. In this update, we examine key market developments and emerging trends across the SRT landscape, and analyze how investors can continue to execute, monitor, and manage SRT investments effectively amidst evolving market dynamics.
The SRT market is large, growing, and complex. Learn how SRT investors are leveraging Credit Benchmark’s bank-sourced default risk estimates to evaluate these transactions, manage portfolio risk and optimize swap structures.
ACCESS REPORTS What Types of Analysis are Available? With 40+ banks regularly contributing their internal ratings to Credit Benchmark, the Credit Consensus Ratings (CCRs) are
Credit Benchmark has been named SRT “Service Provider of the Year” at the 2024 Structured Credit Investor (SCI) CRT Awards.
Credit Risk IQ Industry Reports show how credit risk is evolving through time. 10,000+ free monthly Industry Reports deliver forward-looking analyses of default risk across
Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.
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