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maximus


Total Posts: 11
Joined: Jun 2012
 
Posted: 2015-03-12 14:59

Hello guys,

I am at the moment on the market side of banking. I want to move into the risk side of our bank.

I am not that keen on risk management yet and therefore looking to expand my knowledge.

What makes a good credit risk portfolio manager?

Any good starter books/resources?

I appreciate your replies?


Nonius
Founding Member
Nonius Unbound
Total Posts: 12651
Joined: Mar 2004
 
Posted: 2015-05-30 23:35
Normally a credit portfolio manager doesn't sit within the risk function. He normally sits in a "Portfolio Management Group" and different banks treat this group differently in respect of being considered a cost or profit centre. AFAIK, JPM treats this group or treated this group more as a profit centre, but I could be wrong about that. I seem to recall there being some Phrench guy who lost a lot of money for JPM in some group that was supposed to manage credit risk, but I could be wrong about that.

A good credit risk portfolio manager would have excellent quantitative skills and be able to see things from a 40,000 foot view in respect of credit risks. The former quality entails understanding things like poisson processes and copulas. That latter means not ruminating on that pesky 1Mn exposure to some Central American pastry shop to which your bank lent money, but understanding that you may have too much exposure to Central American pastry shops.

Chiral is Tyler Durden

polysena


Total Posts: 1038
Joined: Nov 2007
 
Posted: 2015-05-31 00:36
IACPM
Check their ressources and conferences if your bank is a member, there is a lot on their site.educational workshop

Свобода - это то, что у меня внутри. (Ленинград и Кипелов - "Свобода")

Nonius
Founding Member
Nonius Unbound
Total Posts: 12651
Joined: Mar 2004
 
Posted: 2015-06-03 23:32
Polysena, Polysena, there should be a vernacular verb for what you just did. My answer is more to the point. Drinks at Novikov, where we can discuss this, Tarkovski with Chiral3 online....and kittens?

Chiral is Tyler Durden

polysena


Total Posts: 1038
Joined: Nov 2007
 
Posted: 2015-06-11 22:06
What did I do? Ich nicht versteyn.

Anyhow nobody disputes your answer, perhaps one can add that CPMs may sit in with Risk Management function or in Treasury depending of institutions or in between them, i.e cost/profit Centers varies also...these are things that you can learn reading the surveys that the IACPM does year after year just in passing.. as for quantitative skills I have seen that to vary but they are rather on the + side agreed. Maybe one can add that various people with various strengths populate these areas and that makes it perhaps not uninteresting. Respectfully puzzled Poly

Свобода - это то, что у меня внутри. (Ленинград и Кипелов - "Свобода")

Cheng


Total Posts: 2798
Joined: Feb 2005
 
Posted: 2015-06-12 08:59
Poly, I dare say that it had nothing to do with you.

Re CPM: there is a variety of models, ranging from a simple look-and-report operating over hedge-as-hedge-can to a full fledged all-your-loans-are-belong-to-us operation. The location within the organisation depends on the business model. From what I remember most players chose a middle ground, only a handful were more radical (like CPM buying the loans from origination, usually at a price origination doesn't like too much, and putting them under fair value option).

"Sad wings of destiny / Where have they gone? / I know eternally / I'll carry on" (Rob Halford, Sad Wings)
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