This paper studies the effects of maturity, assets? risks and time-varying correlations on pricing portfolios of financial guarantees. In the spirit of Froot and Stein (1998), Merton and Perold (1993) and the practice of capital at risk, we analyze the inter-temporal risk management practice of a risk averse guarantor. Since it has been long recognized in the credit risk literature that correlations change with economic cycles, we analyse explicitly these phenomenon by means of a one factor Gaussian copula stochastic correlation model. To achieve our objective, we propose an extended contingent claims analysis model that incorporates (i) bankruptcy occurrence induced by a barrier à la Black and Cox (1976); (ii) the pricing of the guarantee takes into account the unexpected losses; and (iii) the insurer is averse to risk with disutility proportional to the square of the unexpected losses. Our simulations results show that constant correlations lead to undervaluation of the guarantee contract since it understates the losses, which can affect the insuring capacity of the insurer, especially for longer maturity debts. We also show how depending on the loans maturity, the portfolio unexpected loss does not necessarily increase with the assets risk. Moreover, the utility of the guarantor indicates the existence of an optimal average maturity for the loans composing the portfolio.