7.3 Summary

Course week(s) Week 7
Course subject(s) CDS and Stress Testing

Dear Risk Managers, the Sofa Session of this week contains our second interview with a practitioner.

Our guest is Maikel van Herel, Head Quantitative Risk Analytics at Rabobank.

Together with him, we will discuss stress testing, one of the topics of this week.
Mr. van Herel will tell us how Rabobank produces scenarios, and what are the quantities they take into account for their simulations and estimates.
You will see that you are fully able to understand the terminology used in the interview.

As usual, we will ask Mr. van Herel what it takes to be a good risk manager.
I think you are interested in the answer. Aren’t you?

Interview with Maikel van Herel, Head Quantitative Risk Analytics, Rabobank

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Subtitles (captions) in other languages than provided can be viewed at YouTube. Select your language in the CC-button of YouTube.

For what concerns stress testing, I think you may find the following two readings rather interesting.

The Canadian point of view.

The British point of view.

It may also be worthy to have a look at the website of the Bank of Italy about stress tests and banking supervision. I always suggest to have a look at the original documents and data.

At the beginning it may be difficult, but it is the best way to learn.

For what concerns Credit Default Swaps, I suggest you to see the Investopedia video here. The way in which CDS are presented is not completely neutral, but it is surely helpful to understand how a CDS works.

And about neutrality…

Since credit default swaps have been blamed as one of the causes of the 2007-2008 crisis, given the possibility of transferring risk to third parties (the buyer transfers the credit risk of the reference entity to the seller), thus fostering risk-taking behaviors on the markets, I really suggest you to read the following articles.

CDS – HowStuffWorks.

CDS and the Credit Crisis.

The Shrinking of CDS Market.

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Introduction to Credit Risk Management by TU Delft OpenCourseWare is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Based on a work at https://ocw.tudelft.nl/courses/introduction-credit-risk-management/.
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