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.
