Loans trading

fodor · August 16th, 2006, 4:05 pm

Hello,nowadays it's easy to obtain pricing for loans in the secondary market. How do Loan desks asses their market risk? What stress-tests are performed? Is some historical price volatility used or are there analytical models out there that can stress credit spread , drawdowns , etc? Any vendors that offer solutions?Any insights would be greatly appreciated.

chromo · August 17th, 2006, 5:23 am

Wall street systems is a relevant vendorrisk assessed qualitatively, in terms of notional at risk and expected losses. larger portfolios statistically modelled against volume/default curves.that's as close as i got.