Credit portfolio management
Credit portfolio manager of the year: JP Morgan
Original headline:
Source: Risk magazine
Being asked to achieve more with fewer resources is a common gripe in any walk of life – but increasingly so for credit portfolio managers. The past 12 months saw them having to manage the shifting risk...
Published online only
Source: Risk magazine
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Published online only
Source: Risk magazine
Loan risk manager takes newly created job as head of credit portfolio management at Citi
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More Credit portfolio management articles
CVA hedging: a false sense of security
Original headline:
Source: Risk magazine
Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail risks, argues David Rowe
An analytical framework for credit portfolio risk measures
Original headline:
Source: Risk magazine
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and expected shortfall for these portfolios that significantly...
Credit portfolio manager of the year: HSBC
Original headline:
Source: Risk magazine
Credit portfolio management (CPM) looks like an afterthought at many banks: the function is locked away at the end of the lending process, having little interaction with the business lines and minimal influence on the composition of the loan portfolio....
Monkey business in bond sales: Caveat Lector column
Original headline:
Source: Credit
Bond salespeople have neither the wherewithal nor the incentive to market and sell bonds in the old-fashioned ‘creative’ way, so it’s no surprise they know little about their wares.
Nuclear industry weighs short-term pain for long-term gains
Original headline:
Source: Energy Risk
With increased use of nuclear energy currently the EU’s most likely route to ensuing both security of supply and low carbon emissions, Alex Davis examines the impact such a policy could have for energy risk managers
Credit derivatives
Original headline:
Source: Risk magazine
Credit derivatives dealers haven’t had much to shout about in recent years – a large chunk of the market has virtually shut down, volumes are much reduced and liquidity has suffered. Last month, however, the publication of proposals on short selling...
Bund yield drop gives secondary market the jitters
Published online only
Source: Credit
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.
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