Shortfall: a tail of two parts

One of the challenges in trading and risk management of portfolios and portfolio derivatives is understanding where the risk is coming from - a difficulty because there are many underlyings. The initial objective of credit portfolio modelling 10 or so years ago was simply to construct a distribution of loss or profit and loss, thereby only measuring risk at portfolio level. More recently, it has become much easier for market participants to hedge or securitise risk, and various financial instrum

To continue reading...

You must be signed in to use this feature.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: