Replicating success

The financial crisis drummed home to many banks the advantages of quickly calculating exposures and executing hedges for complex portfolios. As a result, some banks are looking to the insurance sector and their use of replicating portfolios.


Put yourself in the position of the senior management of a bank during the financial crisis. They see volatility climbing to unmatched levels and know the extreme markets leave them heavily exposed. But their portfolios are complex, and although their desks are piled high with risk reports, these are long and complex and full of arcane numbers and measures. Even when senior managers digest the reports, they are still faced with a key question: what is the most effective action they can take?


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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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