Margin notes

Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure

Despite being laid off from his job at a power trading company, Joe Risk Manager is feeling pretty good. He has landed on his feet as the new chief risk officer for a small oil producer called Risky Oil. The firm can produce 10 million barrels of oil a year, but operates on very thin profit margins, producing at an average cost of $23 a barrel (bbl). In addition, the company carries significant debt. Given this situation Joe helped the company implement a policy of hedging its

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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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