Highly Commended: Axa IM’s Capella

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In the market for collateralised debt obligations backed by asset-backed securities, the recent tightening in underlying spreads has prompted some structurers to move down the capital structure and in certain cases push the boundaries of what would normally be considered a high-grade portfolio. But Axa Investment Managers bucked the trend in September with a $1.5 billion synthetic collateralised debt obligation (CDO), referencing 100% triple-A rated US residential mortgage-backed securities

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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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