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What’s the worst that could happen?

Brett Humphreys discusses how using a standard credit value-at-risk measure may be misleading for credit risk decisions

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Over the past four years, credit risk issues have become significantly more important within risk management. Defaults by the Power Company of America, Pacific Gas and Electric and Enron have reinforced the need for actively managing credit risk. For this reason, risk managers have started calculating metrics to help them understand their credit risk – and the standard metric has become

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