PortfolioRisk+ cracks tail risk conundrum

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Credit Suisse First Boston (CSFB) made available its new proprietary portfolio credit risk management tool, PortfolioRisk+, to all its clients last month – claiming that the system is the first technology able to measure how tail risk combines in credit portfolios.

Standard credit risk models – such as those based on value-at-risk or mean variance – assume asset returns are distributed normally, so that, for example, a return of 15% is as likely as a loss of 15%. But credit returns are not

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