CIBC's Mark & Crouhy: VaR CanStill Work

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PARIS --Corporate managers and portfolio managers have long been warned by risk experts not to rely too heavily on VaR alone as a risk indicator, because the tool is not designed to address stressed market conditions and its output can vary widely depending on inputted risk factors. Now that recent extreme market events have made this point painfully clear, managers are faced with a quandary: dismiss VaR or engineer additional risk tools that bolster VaR's effectiveness, such as credit VaR

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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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