Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Risk Awards 2019: Risk-sharing scheme helps French bank double loan volumes on stable RWAs
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Julian Keenan leads Asia credit portfolio trading at the US bank
Revamped CPM team plays key role in boosting sub-par returns
Risk Awards 2015: French bank shared trade finance exposure with World Bank
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…
The UK bank wins for the growing ambition of its OTC capabilities, as Risk publishes its fifteenth annual awards
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
Risk awards 2012
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Loan risk manager takes newly created job as head of credit portfolio management at Citi
Quo vadis, CVA?
An analytical framework for credit portfolio risk measures
Risk awards 2011
Credit special report
After last month’s sell-off of risky assets, traders say positive technical factors could push real money investors back into the market before long.
Portfolio managers accustomed to building books in neat blocks of $50 million may struggle to unwind such positions in the new liquidity-starved secondary markets.