RM Help: Using RiskManager3 > Stress Testing > Using Jump to Default (RM 3.8.6) > Setting up the Stress Test

Setting up the Stress Test

To create a Jump to Default Stress test, you need to use the Model Parameter Stress Test interface. From the Stress Test menu, choose Model Parameter Stress Test. Next, name the Model Parameter Stress Test and select the Jump to Default Spec option; then add issuer names.

 

 

  1. For a CDX Index instruments and Synthetic CDO with a constituent source list, the Defaulted Issuer list must match the Defaulted Issuer list in an Issuer Mapping Rule. For other instruments, the Defaulted Issuer name in the Jump to Default Spec must match the instrument's Issuer Name tag.