JP Morgan Chase admits defeat on loan hedging plan

Hit by increased loan-loss provisions, credit rating downgrades and a below-book-value market capitalisation, JP Morgan Chase is conceding that its plan to reduce concentrations of credit risk in the firm’s loan and derivatives portfolio has been overtaken by market events. This plan was put in place in November 2001, but it appears that the firm was unable to hedge the exposures that mattered most.

Speaking to Risk in March 2002, head of loan portfolio risk management Blythe Masters said:

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