Credit portfolio management (CPM)
Active credit portfolio management
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Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2021: lender crushes RWAs to keep taps flowing to corporate Europe during Covid crisis
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Credit portfolio manager of the year: Natixis
Risk Awards 2019: Risk-sharing scheme helps French bank double loan volumes on stable RWAs
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Modeling dependent risk factors with CreditRisk+
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Credit portfolio manager of the year: Lloyds Bank Commercial Banking
Revamped CPM team plays key role in boosting sub-par returns
Credit portfolio manager of the year: Crédit Agricole
Risk Awards 2015: French bank shared trade finance exposure with World Bank
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Risk awards 2014: HSBC wins top house
The UK bank wins for the growing ambition of its OTC capabilities, as Risk publishes its fifteenth annual awards
Credit portfolio manager of the year: HSBC
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
Credit portfolio manager of the year: JP Morgan
Risk awards 2012
Basel statement on risk transfer could halt legitimate trades, bankers warn
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Sean Kavanagh leaves Deutsche Bank for Citi
Loan risk manager takes newly created job as head of credit portfolio management at Citi
CVA hedging: a false sense of security
Quo vadis, CVA?
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Credit portfolio manager of the year: HSBC
Risk awards 2011
Monkey business in bond sales: Caveat Lector column
Monkey puzzle
