Von Herabstufungen aus der Bahn geworfen

Collateralised Commodity Obligations


Mit der Markteinführung der ersten Collateralised Commodity Obligation (CCO) 2004 war Barclays Capital sich gewiss, dass das eine gute Sache werden würde. Renditehungrige institutionelle Investoren suchten Diversifikationsmöglichkeiten und rissen sich um die Notes, die die strukturellen Merkmale einer Collateralised Debt Obligation (CDO) - Nachrangigkeit, Tranchierung und ein Rating - mit dem Engagement an den Rohstoffmärkten verbinden. Dann boten auch Credit Suisse und andere Händler eigene CCO

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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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