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Throughout the course of the financial crisis certain charged terms have been used again and again to denote the problematic areas of the markets, especially the credit markets. Commentators are especially keen to identify those shadowy areas of the system where the most esoteric structures were put together by the fabled ‘rocket scientists'. But in their understandable enthusiasm to harry the authors of structured credit's worst excesses, many observers have unfairly lumped every failed model

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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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