Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Julian Keenan leads Asia credit portfolio trading at the US bank
Revamped CPM team plays key role in boosting sub-par returns
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.
Risk Awards 2015: French bank shared trade finance exposure with World Bank
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi-analytical...
The UK bank wins for the growing ambition of its OTC capabilities, as Risk publishes its fifteenth annual awards
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
Risk awards 2012
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Loan risk manager takes newly created job as head of credit portfolio management at Citi
Quo vadis, CVA?
An analytical framework for credit portfolio risk measures
Risk awards 2011
Credit special report
After last month’s sell-off of risky assets, traders say positive technical factors could push real money investors back into the market before long.
Portfolio managers accustomed to building books in neat blocks of $50 million may struggle to unwind such positions in the new liquidity-starved secondary markets.
On a recent visit to New York, Credit met up with senior figures at three of the largest fixed income asset managers globally to hear their thoughts on where the US credit market is heading next and what the risks are for investors.
The credit bull run of 2009 is a footnote in history. But discerning fund managers are finding there is still value to be had in credit; the challenge is picking the right names.