Credit portfolio management (CPM)
Credit portfolio manager of the year: UniCredit
Risk Awards 2025: A focus on economic value-added prompted a rapid expansion of the bank’s synthetic risk transfer activity
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
For a growing number of banks, synthetics are the real deal
More lenders want to use SRTs to offload credit risk, but old hands say they have a long road ahead
EU reporting regime a ‘hurdle’ for risk transfer deals, say investors
Onerous disclosure templates could deter US banks from marketing synthetic securitisations to European buyers
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
Investors cheer Fed guidance on bank credit risk transfers
Institutions say clarification of regulations could jump-start US market
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
The changing face of credit portfolio management at banks
The final Basel III framework will require banks to rethink capital allocation and risk transfer strategies in light of new rules on calculating risk-weighted assets, increased emphasis on the standardised approach and a new leverage ratio. CPM will be…
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Active credit portfolio management
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Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2021: lender crushes RWAs to keep taps flowing to corporate Europe during Covid crisis
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Credit portfolio manager of the year: Natixis
Risk Awards 2019: Risk-sharing scheme helps French bank double loan volumes on stable RWAs
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Modeling dependent risk factors with CreditRisk+
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Lloyds' CVA head exits for JP Morgan
Julian Keenan leads Asia credit portfolio trading at the US bank
Credit portfolio manager of the year: Lloyds Bank Commercial Banking
Revamped CPM team plays key role in boosting sub-par returns
Credit portfolio manager of the year: Crédit Agricole
Risk Awards 2015: French bank shared trade finance exposure with World Bank