Basel Committee

Reconstructing loan management

European banks are taking advantage of the benign credit environment to overhaul the way they manage their loan portfolios. With credit spreads at record lows, banks are increasing their use of credit derivatives for hedging. By Rachel Wolcott

Validating EPE

Empirical validation of trading credit exposure simulation models is clearly essential. David Rowe points out, however, that the process must differ significantly from traditional back-tests of VAR models

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