LONDON--Credit Suisse First Boston (CSFB) is now offering its new PortfolioRisk+ proprietary portfolio credit risk management tool to all its buy-side clients. PortfolioRisk+, which has been available to CSFB clients since February, measures how tail risk--the risk of exceptionally large credit losses in ‘abnormal’ years--combines in credit portfolios.
CSFB’s tool has two key elements: first, forward-looking credit risk distributions are generated for each credit in the portfolio, then these
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