Branching out

Unlike other basket-linked notes, JPMorgan and Morgan Stanley’s newly merged product, Trac-x, replicates the credit default swap market. But are investors ready or able to make use of such a product? David Watts reports

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On April 1, the two progenies of US banker Jean Pierpoint Morgan – JPMorgan and Morgan Stanley – held joint press briefings in New York and London simultaneously. With the war in the Gulf, financial news had been fairly flat, so two huge banks holding two press briefings in the two global financial centres created at least a glimmer of expectation amongst financial journalists.

But in New York, George James, global head of credit products group at Morgan Stanley, kicked off the

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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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