Don't blame CPM

Credit portfolio management

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As the banking industry tries to digest the roughly $120 billion in losses suffered on subprime-linked securities to date, an argument is brewing about how much blame should be attached to banks' credit portfolio management (CPM) functions, and the lessons - if any - those functions can take from the crisis. On one hand, portfolio managers themselves point out the majority of the losses came from swingeing writedowns on positions built by trading desks, which are not within their purview

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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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