Writing
Notes on risk, data and the credit cycle
Short essays from the practice: what moves credit pricing, how portfolios earn their diversification, and where data changes the answer.
Through the cycle vs point in time PD: the maths, the calibration, and when to use which
Two probabilities of default for the same company, both correct. A one-factor model connects them, and calibrating it properly is where the real work is.
Read Credit risk maths · 5 min readCumulative, marginal, conditional, annualised: demystifying the PD term structure
Four numbers that all get called “the PD”. They answer different questions, and mixing them up quietly misprices every multi-year risk.
Read Reinsurance structuring · 5 min readThe broker’s triangle: balancing cost, capital and exposure relief
Every reinsurance programme trades off cost, capital relief and exposure relief. Getting two is easy. A broker earns their fee in the centre of the triangle.
Read Credit pricing · 2 min readAsk the loan officers: why bank lending surveys track credit risk better than CDS
When I looked for the market signal that best explained movements in credit pricing, it was not CDS. It was a survey of bank loan officers.
Read Portfolio steering · 2 min readSteering through the soft cycle: credit as the portfolio’s shock absorber
Diversification is easy to put on a slide and hard to put to work. In a softening property market, credit is where a portfolio can actually earn it.
Read Industry · 4 min readThe quiet hedge: why credit and surety behaves where property doesn’t
When your property book is bleeding from catastrophe losses, what is your credit book doing? More often than not, holding steady. That is not a coincidence. It is structure.
ReadSecond Life Inc.
A novel series about a company that sells the impossible: a fresh identity and a rewritten past. Book one, Reset; book two, The First File.
A glimpse