Standard & Poor's enters portfolio risk modelling

Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks they manage.

S&P claims the model covers a broader range of asset classes and a wider variety of sources of risk than traditional portfolio risk models. The model also incorporates structured exposures, such as asset-backed securities and collateralised debt obligations (CDOs), in the calculation of portfolio risk measures. For example, a bank can use the model to assess the impact of a CDO tranche on its value-at-risk or measure the benefits of securitising a portion of its balance sheet. Sovereign risk

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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options

Chartis RiskTech100® 2024

The latest iteration of the Chartis RiskTech100®, a comprehensive independent study of the world’s major players in risk and compliance technology, is acknowledged as the go-to for clear, accurate analysis of the risk technology marketplace. With its…

T+1: complacency before the storm?

This paper, created by WatersTechnology in association with Gresham Technologies, outlines what the move to T+1 (next-day settlement) of broker/dealer-executed trades in the US and Canadian markets means for buy-side and sell-side firms

You need to sign in to use this feature. If you don’t have a 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