Credit Deterioration and Risk Management Approaches

The panel addresses how credit deterioration is reshaping risk management practices for CLO managers and investors. Kevin Wong highlights the scarcity of public swap opportunities and the importance of individual credit selection. Savvas Charalambous describes stochastic modelling approaches to assess correlated default scenarios. Michael Htun stresses the importance of managers having robust monitoring processes and selling early to manage tail risk. Olivier Gozlan adds that distinguishing between general spread widening and specific credit deterioration within a portfolio is critical for accurate risk assessment.