The value of a system

The recent turmoil in the financial markets caused the value of investors' portfolios to plunge, sparking a flurry of margin calls by prime brokers. In response, some buy-side firms have started to acquire valuation systems of their own amid widespread uncertainty over the prices of complex securities held as collateral. By Clive Davidson

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The discord in the financial markets over the past few months has raised plenty of doubts - the valuation of collateralised debt obligations, the role of rating agencies and how to manage liquidity risk, to name just a few. Even the most widely accepted and dependable of risk mitigants - the posting of collateral - is under scrutiny.

At the height of the turmoil, reports began to surface of disputes between hedge funds and prime brokers over margin calls and the subsequent seizing and liquidation

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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