Credit portfolio management (CPM)
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Risk awards 2014: HSBC wins top house
The UK bank wins for the growing ambition of its OTC capabilities, as Risk publishes its fifteenth annual awards
Credit portfolio manager of the year: HSBC
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
Credit portfolio manager of the year: JP Morgan
Risk awards 2012
Basel statement on risk transfer could halt legitimate trades, bankers warn
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Sean Kavanagh leaves Deutsche Bank for Citi
Loan risk manager takes newly created job as head of credit portfolio management at Citi
CVA hedging: a false sense of security
Quo vadis, CVA?
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Credit portfolio manager of the year: HSBC
Risk awards 2011
Monkey business in bond sales: Caveat Lector column
Monkey puzzle
Credit derivatives
Credit special report
Bund yield drop gives secondary market the jitters
After last month’s sell-off of risky assets, traders say positive technical factors could push real money investors back into the market before long.
Low liquidity is the new norm for portfolio managers: Caveat Emptor column
Portfolio managers accustomed to building books in neat blocks of $50 million may struggle to unwind such positions in the new liquidity-starved secondary markets.
US credit outlook: Pramerica, BlackRock & Alliance Bernstein
On a recent visit to New York, Credit met up with senior figures at three of the largest fixed income asset managers globally to hear their thoughts on where the US credit market is heading next and what the risks are for investors.
How to pick crisis-proof credits
The credit bull run of 2009 is a footnote in history. But discerning fund managers are finding there is still value to be had in credit; the challenge is picking the right names.
Variance-covariance-based risk allocation in credit portfolios
Mikhail Voropaev proposes high-precision analytical approximation for variance-covariance-based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
Spotlight on exposure
The pricing of derivatives credit charges and risk management of counterparty credit risk portfolios pose many challenges. Julian Keenan reviews the approaches available and makes some recommendations
Last option before the armageddon
Damiano Brigo and Massimo Morini show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'. They introduce a new equivalent pricing measure that lays the foundation for a market model framework in multi…
The hybrid saddlepoint method for credit portfolios
Anthony Owen, Alistair McLeod and Kevin Thompson derive a practical analytic approach, which they call the hybrid saddlepoint method, to calculate the credit loss distribution for a heterogeneous portfolio of correlated obligors
Revolving draws
As uncertainty cloaked the capital markets late last year, a number of corporates tapped committed revolving credit lines originally intended as backstop facilities. Could a potential surge in drawdowns affect banks already constrained by capital?…
