Asset allocation
Sweden’s credit risk maverick
“We don’t like portfolio management,” says Björn Börjesson, executive vice-president and head of the central credit department at Svenska Handelsbanken in Stockholm.
Credit risk in asset securitisations: an analytical model
How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…
The pitfalls of VAR estimates
Value-at-risk