Credit risk

dollar vortex

Credit derivatives are under scrutiny again, this time over the role they played in the current Greek debt crisis. Last month, French finance minister Christine Lagarde blamed speculators for contributing to the eurozone’s debt problems, and argued the sovereign credit default swap (CDS) market should be tightly controlled.

It is true some hedge funds and banks have bought protection on a variety of European sovereigns in recent months – trades that caused spreads to widen significantly. But the

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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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