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A weblog by Chris Whalen, Institutional Risk Analytics

 

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September 05, 2007

Was 1991 a Real Credit Crunch or a Head Fake?

In this week's issue of The Institutional Risk Analyst, we take a look at some of the public data Basel II factors for the top-five US money center banks and ask a basic question: what if the "maxi" credit correction of the early 1990s, when the lead unit of Citigroup, Citibank NA, reported a peak of 360bp of defaults, was not really an outlier compared to the credit correction now underway?

That is, if you use 1991 as a worst case scenario in your VaR analysis, will you under shoot or over shoot the credit default wave that is hitting the US economy as you ponder these words?

Comments? Questions?


Posted by whalenc at September 5, 2007 10:25 PM

What can I do with PRMIA online?