Credit Portfolio Management and Bank-Sourced Benchmarks

This paper demonstrates the role of bank-sourced benchmarks and indices in credit portfolio management (“CPM”). All banks aim for optimal risk-adjusted returns across their book of business, but there is an increasing focus on credit portfolio diversification in comparison with their competitors. Bank-sourced data provides benchmarks that measure this diversification and allow banks to make better-informed portfolio construction decisions. This paper presents a number of worked examples based on current IRB bank use cases.

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