When market and credit risk collide
It all used to be so easy. A loan intended to be held to maturity was put in the banking book, with changes in credit risk closely monitored. Shifts in market prices didn’t really matter – the primary risk was default. Meanwhile, if an instrument was expected to be held for a short period, it was dumped in the trading book, where it was perceived to be subject to market risk. In this simple view of the world, credit risk wasn’t really an issue for trading book positions. Liquidity risk barely
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Risk management
7 days in 60 seconds
Covid bank tests, swap fix deferred and SOFR switch
The week on Risk.net, October 17-23, 2020
Receive this by email