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专业来自百分百的投入11FRM强化班课程信用风险讲师：汤震宇CFAFRM日期：2007年10月地点：上海22专业来自百分百的投入CopyRight©2007ByGFEDURating¾Youareconsideringaninvestmentinoneofthreedifferentbonds.Yourinvestmentguidelinesrequirethatanybondyouinvestincarryaninvestmentgraderatingfromatleast2recognizedbond-ratingagencies:Which,ifany,ofthebondslistedbelowwouldmeetyourinvestmentguidelines?¾A.BondAcarriesanS&PratingofBBandaMoody’sratingofBaa.¾B.BondBcarriesanS&PratingofBBBandaMoody’sratingofBa.¾C.BondCcarriesanS&PratingofBBBandaMoody’sratingofBaa.¾D.Noneoftheabove.33专业来自百分百的投入CopyRight©2007ByGFEDU¾C¾BBB-S&P¾Baa-Moody’s44专业来自百分百的投入CopyRight©2007ByGFEDURating¾Whichofthefollowingisnotanareatypicallyfocusedonbyratingagencieswhenassigningcreditratings?¾A.Competitivepositionofthefirminitsindustry.¾B.Managementquality.¾C.Fairnessofemployeeperformance-basedcompensation.¾D.Financialpolicyofthefirm.55专业来自百分百的投入CopyRight©2007ByGFEDU¾Answer:C¾Economicprospectsarecrucialforassesingcreditrisks.Therefore,weshouldconsidergrowthpotential,marketcompetion,andexposuretofinancialriskfactors.66专业来自百分百的投入CopyRight©2007ByGFEDURating¾UndertheInternalRatingsBaselapproachofBaselII,inputsaresetbytheBaselCommitteeorthebankthathasadoptedthatapproach.Whichofthefollowinginputsisalwayssetbythebank?¾a.Assetcorrelation¾b.Confidencelevel¾c.Probabilitiesofdefault¾d.Lossgivendefault77专业来自百分百的投入CopyRight©2007ByGFEDU¾Answer:C88专业来自百分百的投入CopyRight©2007ByGFEDURatingandProbabilityofDefault¾ForacompanywithratingBatthestartofyear1,calculatethedefault(ratingD)probabilityforyear2.¾¾a.0.4%¾b.2%¾c.17.2%¾d.65%99专业来自百分百的投入CopyRight©2007ByGFEDU¾A¾PD=P(D2|A1)*P(A1|B0)+P(D2|B1)P(B1|B0)+P(D2|C1)P(C1|D0)=0+0+0.02*0.20=0.4%1010专业来自百分百的投入CopyRight©2007ByGFEDUProbabilityofDefault¾Thereare10bondsinacreditdefaultswapbasket.Theprobabilityofdefaultforeachofthebondsis5%.Theprobabilityofanyonebonddefaultingiscompletelyindependentofwhathappenstotheotherbondsinthebasket.Whatistheprobabilitythatexactlyonebonddefaults?¾A.5%¾B.50%¾C.32%¾D.3%1111专业来自百分百的投入CopyRight©2007ByGFEDU¾Answer:C¾10*(0.05)1*(1-0.05)9=32%1212专业来自百分百的投入CopyRight©2007ByGFEDUProbabilityofDefault¾CompanyABCwasincorporatedonJanuary1,2004.Ithasanexpectedannualdefaultrateof10%.Assumingaconstantquarterlydefaultrate,whatistheprobabilitythatcompanyABCwillnothavedefaultedbyApril1,2004?¾a.2.40％¾b.2.50％¾c.97.40％¾d.97.50％1313专业来自百分百的投入CopyRight©2007ByGFEDU¾Answer:C¾(1-dA)=(1-dQ)4=k4¾K=1-dQ=97.4%1414专业来自百分百的投入CopyRight©2007ByGFEDUMarginalProbability¾Forazero-couponbond,theprobabilityofdefaultingoverthenextyearis0.4%andtheaverage(annualized)probabilityofdefaultingoverthenexttwoyearsis0.6%.Whatisthemarginalprobabilityofdefaultduringthesecondyearassumingrisk-neutralpricing?¾A.0.18%¾B.0.33%¾C.0.73%¾D.0.90%1515专业来自百分百的投入CopyRight©2007ByGFEDU¾C¾(1-d1)*(1-d2)=(1-D2)21616专业来自百分百的投入CopyRight©2007ByGFEDUCumulativeProability¾Acorporatebondwillmatureinthreeyears.Themarginalprobabilityofdefaultinyearoneis0.03％.Themarginalprobabilityofdefaultinyeartwois0.04％.Themarginalprobabilityofdefaultinyearthreeis0.06％.Whatisthecumulativeprobabilitythatdefaultwilloccurduringthethree-yearperiod?¾A.12.47%¾B.12.76%¾C.13%¾D.13.55%1717专业来自百分百的投入CopyRight©2007ByGFEDU¾A¾1-(1-d1)*(1-d2)*(1-d3)1818专业来自百分百的投入CopyRight©2007ByGFEDUConcentrationlimits¾Cbankhassetamaximumlossof15%oftotalcapitalasabasisforestablishingconcentrationlimitsonloanstoindibidualborrowers.Ifithassetaconcentrationlimitof20%toMcompany,M’sexpectlossrateis:¾A25%¾B33.3%¾C48%¾D75%1919专业来自百分百的投入CopyRight©2007ByGFEDU¾D¾concentrationlimit=maximumlossasapercentofcapitalx(1/lossrate)=¾0.15X(1/lossrate)=0.15/0.20=75%2020专业来自百分百的投入CopyRight©2007ByGFEDUQuantity&Rating&PD¾ConsideranAratedbondanaBBBratedbond.Assumethattheone-yearprobabilitiesofdefaultfortheAandBBBratedbondsare2%and4%,respectively,andthatthejointprobabilityofdefaultofthetwobondsis0.15%.Whatisthedefaultcorrelationbetweenthetwobonds?¾A.0.07%¾B.2.6%¾C.93.0%¾D.Thedefaultcorrelationcannotbecalculatedwiththatinformation.2121专业来自百分百的投入CopyRight©2007ByGFEDU¾Answer:B¾SeeA,Basa0-1distribution¾P(A)=0.02,P(B)=0.04,P(AB)=0.0015¾E(A)=0.02,E(B)=0.04¾E(AB)=E(A)E(B)+Cov(AB)¾Cov(AB)=0.0007¾D(A)=P(A)*[1-P(A)]=0.0196,D(B)=0.0384¾0.0007/(0.0196*0.0384)0.5=0.02552222专业来自百分百的投入CopyRight©2007ByGFEDUMeanlossrate¾Abondwithafacevalueof$1,000,000iscurrentlysellingfor$880,000.Thebondhasa20%probabilityofdefaultinganda60%recoveryrate.Ifinterestratesareassumedtobezero,whatisthebond’smeanlossrateandrisk-neutralmeanlossrate,respectively?¾MeanlossrateRisk-neutralmeanlossrate¾A.12%12%¾B.8%12%¾C.8%40%¾D.12%40%2323专业来自百分百的投入CopyRight©2007ByGFEDU¾B¾ThemeanlossratePD(l—recoveryrate)=(0.20)(1-0.6)=8%.Therisk-neutrallossrate=1-880,000/1,000,000=12%2424专业来自百分百的投入CopyRight©2007ByGFEDUCounterpartyrisk¾Whichofthefollowingisnotastandardpracticeusedinthederivativesmarkettoreducecreditriskamongcounterparties?¾a.Adoptingamasternettingagreement¾b.Agreeingtomaterialadversechangecovenants¾c.Usinginitialandvariationmarginagreements¾d.Includingratingdowngradetriggersincreditagreements2525专业来自百分百的投入CopyRight©2007ByGFEDU¾Answerb¾SeePracticeexam