Credit portfolio management (CPM)

Spotlight on exposure

The pricing of derivatives credit charges and risk management of counterparty credit risk portfolios pose many challenges. Julian Keenan reviews the approaches available and makes some recommendations

Last option before the armageddon

Damiano Brigo and Massimo Morini show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'. They introduce a new equivalent pricing measure that lays the foundation for a market model framework in multi…

Revolving draws

As uncertainty cloaked the capital markets late last year, a number of corporates tapped committed revolving credit lines originally intended as backstop facilities. Could a potential surge in drawdowns affect banks already constrained by capital?…

Legal lethargy

Constraining buy-side institutions to hold only investment-grade securities uses a nearly century-old metric with limited contemporary relevance. David Rowe supports one modest proposed reform

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…

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