Chaos bei der Marktwertanpassung

Strukturierte Kredite


Im Verlauf des Jahres 2007 erlebten die Kreditmärkte eine schicksalhafte Wende. Noch in der ersten Jahreshälfte erschienen RMBS (durch Immobiliendarlehen hypothekarisch gesicherte Wertpapiere) und CDO-of-ABS (Collateralised Debt Obligations, die auf durch einen Forderungspool unterlegte Wertpapiere referenzieren) angesichts ständig sinkender Spreads als großartige Sache. In der Hoffnung auf außerordentliche Erträge drängten die Kreditfonds in den Bereich dieser potentiell illiquiden

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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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