Macro Stress Map: Energy, Credit & Risk Aversion
KOSPI 200 Exposure Analysis
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Objective: To quantify how a simultaneous positive shock to: WTI crude, Japan corporate credit spreads, implied volatility, would transmit through KOSPI 200 constituents using MFERM exposures as of 6 March 2026. Only 46 names are hurt by both higher oil and wider spreads. 94 names have positive Energy exposure. Korea’s defence and ship building complex is the dominant feature: massive oil sensitivity, heavy credit drag, but long volatility provides a natural offset.
Energy vs. Japan Corporate Credit: The Full Map
X-axis = Energy (WTI) exposure. Y-axis = Japan Corporate Credit (JPY credit spreads) exposure. Red dashed lines = average negative exposure thresholds. Only 1 name (KEPCO) sits in the top-right with positive Credit exposure.
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