Quant Congress: Bear Stearns breached structured credit limits, says former CRO
Defunct securities dealer Bear Stearns persistently breached its own internal limits governing how much structured credit paper the firm could hold on balance sheet in the months leading up to its collapse, the firm’s former head of risk management for Europe and Asia stated yesterday.
Kanwardeep Ahluwalia, now chief risk officer for financial markets at Swiss Re in London, was participating in a chief risk officer panel discussion about the lessons learned from the turbulence in the credit markets over the past year. He emphasised that internal portfolio limits were permitted to become dangerously relaxed at many firms between 2005 and 2007 while demand for structured credit products remained strong.
“In my personal experience, I’ve witnessed that as a market bubble keeps
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