Assessing credit risk in investment portfolios requires a dynamic approach that goes beyond a simple reliance on credit ratings. Expected returns must incorporate anticipated credit costs, when applicable, and assets with credit exposure must be regularly monitored to ensure actual performance is in line with initial expectations. The presenters will introduce approaches to credit analysis/surveillance in the context of building high-performing portfolios on a risk-adjusted basis.

LEARNING OBJECTIVES/SESSION TAKEAWAYS:

• Define pros/cons of adding credit exposure to investment portfolios
• Recognize methods for assessing credit costs in various asset types (corporates, RMBS, etc.)
• Review example surveillance methods for credit-risky assets