PortfolioRisk+ cracks tail risk conundrum

Credit Suisse First Boston (CSFB) made available its new proprietary portfolio credit risk management tool, PortfolioRisk+, to all its clients last month – claiming that the system is the first technology able to measure how tail risk combines in credit portfolios.

Standard credit risk models – such as those based on value-at-risk or mean variance – assume asset returns are distributed normally, so that, for example, a return of 15% is as likely as a loss of 15%. But credit returns are not

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: