Credit portfolio management
The UK bank wins for the growing ambition of its OTC capabilities, as Risk publishes its fifteenth annual awards
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies,...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit portfolio management articles
Welcome to the first issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers, covering investment performance analysis, alternative investment strategy design, optimization of derivatives strategies,...
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 profiles associated with the eurozone debt crisis,...
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
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 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....
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
Australia, 5th - 7th Mar 2014
South Africa, 12th - 14th Mar 2014
UK, 12th Mar 2014
UK, 13th - 14th Mar 2014
UK, 13th Mar 2014