Il restyling dei rating

Rating di CDO


I rating creditizi stanno alla base del mercato delle CDO (collateralised debt obligation). Ma il contagio della crisi subprime all'intero mercato del credito ha fatto sì che l'interesse per i rating travalicasse i confini del mercato delle CDO.

Il mese di luglio 2007 ha visto l'esordio dei declassamenti shock di migliaia di tranche di RMBS (titoli garantiti da mutui residenziali) e di centinaia di CDO di ABS (asset-backed securities) ad essi collegati. Successivamente, abbiamo avuto il primo

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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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