Joint Forum: CRT markets' future developments

Firms should not establish material positions in credit risk transfer (CRT) instruments without first having validated models for pricing and risk-managing such exposures, advises a new report from the Joint Forum.

These models should take into account potential for illiquidity in such positions. The report looks at developments in CRT markets from 2005 to 2007. Senior management should formally approve any fundamental changes to the business model associated with CRT activities, the document

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