Adjoint credit risk management

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The aftermath of the recent financial crisis has seen a dramatic shift in the credit derivatives markets, with a conspicuous reduction in demand for complex, capital-intensive products, such as bespoke collateralised debt obligations (CDOs), and a renewed focus on simpler and more liquid derivatives, like credit default indexes and swaptions (Curien 2006; Pengelly 2010).

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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