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