Standard & Poor's enters portfolio risk modelling

S&P claims the model covers a broader range of asset classes and a wider variety of sources of risk than traditional portfolio risk models. The model also incorporates structured exposures, such as asset-backed securities and collateralised debt obligations (CDOs), in the calculation of portfolio risk measures. For example, a bank can use the model to assess the impact of a CDO tranche on its value-at-risk or measure the benefits of securitising a portion of its balance sheet. Sovereign risk

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