Structured Credit Investor: Credit Benchmark Publishes Innovative CRT Report

Credit Benchmark have published a report that introduces a novel approach to portfolio selection and risk assessment in capital relief trades, writes Stelios Papadopoulos for Structured Credit Investor, referencing the whitepaper “Credit Consensus Ratings and Risk Sharing Portfolios“.

Stelios Papadopoulos noted in the column:

“…investors can use credit consensus ratings to price risk in otherwise unrated names, but they can also use credit consensus aggregates to proxy risk for undisclosed capital relief trade portfolios.”

The full original research cited by Structured Credit Investor can be accessed here.

Structured Credit Investor, July 19, 2022.

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Credit Benchmark brings together internal credit risk views from over 40 leading global financial institutions. The contributions are anonymized, aggregated, and published in the form of consensus ratings and aggregate analytics to provide an independent, real-world perspective of credit risk. Risk and investment professionals at banks, insurance companies, asset managers and other financial firms use the data for insights into the unrated, monitoring and alerting within their portfolios, benchmarking, assessing and analyzing trends, and fulfilling regulatory requirements and capital.