Credit portfolio management (CPM)
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
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 based on a global structure in the form of principal components and a novel quasi-local representation for the residuals
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
Innovative structuring allowed Crédit Agricole to transfer trade finance risk to an arm of the World Bank, freeing up capital. The bank's CPM team also saw its role expand to cover liquidity and funding
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
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
Hedges of derivatives counterparty credit exposure – when based on credit default swap spreads – are unreliable and may lull banks into ignoring tail risks, argues David Rowe
An analytical framework for credit portfolio risk measures
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and expected shortfall for these portfolios that…