Credit managers hope for new accounting blueprint

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The creation of a liquid credit derivatives market revolutionised the way banks manage the credit risk in their loan books. Since the last economic downturn, they have become aggressive users of credit derivatives to selectively and actively hedge their loan portfolios to reduce corporate default risk. JP Morgan Chase, for example, now has a $132 billion wholesale loan book, hedged approximately 28% with a notional of $38 billion of credit derivatives positions.

Barclays Capital is another big

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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