Bumped along by Basel II

Credit portfolio management has become an integral part of many big banks' risk management. Smaller banks have lagged behind, but the planned introduction of Basel II next year could provide an incentive for more active management of their loan exposures. By Gareth Gore


Credit portfolio management (CPM) has been a key function in many large banks. Burned by non-performing loans in past credit downturns, many have learned the hard way that it pays to hedge at least part of their loan book. And with the credit derivatives market dramatically increasing in liquidity over the past few years, risk managers have the means to do it.

The credit derivatives market is now one of the fastest growing segments of the global financial system. The notional principal

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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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