XXXX0801FRM二级信用风险测量与管理(1)_孙大利

00金程教育FRM信用风险讲义CreditRiskManagement讲师：孙大利日期：2010年8月地点：■上海□北京□深圳专业来自百分百的投入CopyRight2010ByGFEDU1CreditRiskOutline¾CreditRisk¾OverviewofCreditRisk¾DefaultRisk(Actuarialmethod,MarketPrice)¾CreditExposure¾RecoveryRate¾CreditDerivativesandStructuredProducts¾ManagingCreditRisk专业来自百分百的投入CopyRight2010ByGFEDU2Overviewofcreditrisk专业来自百分百的投入CopyRight2010ByGFEDU3Definition¾theriskofaneconomiclossfromthefailureofacounterpartytofulfillitscontractualobligationsOverview专业来自百分百的投入CopyRight2010ByGFEDU4Overview„Measurementsystem„Toquantifytheriskoflossesduetocounterpartydefault„Notionalamounts„Risk-weightedamounts„External/internalcreditrating„Internalportfoliocreditmodels„Threedrivers„Probabilityofdefault(PD)„Exposureatdefault(EAD)„Lossgivendefault(LGD)„Creditexposure„DefinedasthepositivevalueoftheassetDriversofCreditRisk专业来自百分百的投入CopyRight2010ByGFEDU5OverviewCreditriskversusMarketriskItemMarketRiskCreditRiskSourceofriskMarketriskonlyDefaultriskRecoveryriskMarketriskDistributionsSymmetricFattailsSkewedtotheleftTimehorizonShortterm(days)Longterm(years)AggregationBusiness/tradingunitWholefirmversuscounterpartyLegalissuesNotapplicableVeryimportant专业来自百分百的投入CopyRight2010ByGFEDU6ThedistributionoflossesduetocreditriskfromaportfolioofNinstrumentscanbedescribedas„Whatisb?„WhatisCE?„Whatisf?Creditlosses1(1)NiiiiCreditlossbCEf==××−∑Overview专业来自百分百的投入CopyRight2010ByGFEDU7„Creditevent„Acrediteventisadiscretestate„Eitherithappensornot„DefinitionofISDA„Bankruptcy„Failuretopay„Obligation/crossdefault„Obligation/crossacceleration„Repudiation/moratorium„Restructuring„Downgrade„Currencyinconvertibility„GovernmentalactionOverview专业来自百分百的投入CopyRight2010ByGFEDU8Questions专业来自百分百的投入CopyRight2010ByGFEDU9„JointProbability„BernoulliVariableOverview专业来自百分百的投入CopyRight2010ByGFEDU10Measuringdefaultrisk专业来自百分百的投入CopyRight2010ByGFEDU11DefaultRates„Creditratings„Theratingisan“evaluationofcreditworthiness”issuedbyaratingagency„representactuarialprobabilitiesofdefault„Moody’sdefinition„anopinionofthefutureability,legalobligation,andwillingnessofabondissuerorotherobligortomakefullandtimelypaymentsonprincipalandinterestduetoinvestorsCreditratings(1)专业来自百分百的投入CopyRight2010ByGFEDU12DefaultRates„Accountingratios„Leverage„Cashflowcoverage„MDA„Z-scoremodel„Workingcapitalovertotalassets„Retainedearningsovertotalassets„EBITovertotalassets„Marketvalueofequityovertotalliabilities„NetsalesovertotalassetsCreditratings(2)leverageCashflowcoverageRatingD/CEBITDA/IEBIT/IAAA1225.523.8AA2824.619.5A3810.28.0BBB436.54.7BB543.52.5B761.91.2CCC1140.90.4专业来自百分百的投入CopyRight2010ByGFEDU13DefaultRatesRating12345678910Aaa000.020.090.190.290.410.590.781.02Aa0.070.220.360.540.851.211.62.012.372.78A0.080.270.570.921.281.672.092.482.933.42Baa0.340.991.792.693.594.515.396.257.167.99Ba1.423.435.67.8910.1612.2814.1415.9917.6319.42B4.7910.3115.5920.1423.9927.123032.3634.3736.1Caa-C14.7423.9530.5735.3238.8341.9444.2346.4448.4250.19Inv.0.170.50.931.411.932.483.033.574.144.71Spec.3.837.7511.4114.6917.5820.0922.2824.326.0527.8All1.53.094.626.027.288.419.4310.3811.2712.14Rating11121314151617181920Aaa1.241.41.611.71.751.851.962.022.142.2Aa3.243.774.294.825.235.515.755.986.36.54A3.954.474.945.45.886.356.636.947.237.54Baa8.819.6210.4111.1211.7412.3312.9513.4913.9314.39Ba21.0622.6524.2325.6126.8327.9629.1330.2431.1432.05B37.7939.3740.8542.3343.6244.9445.9146.6847.3247.6Caa-C52.354.456.2458.2260.0861.7863.2764.8166.2567.59Inv.5.35.96.4677.487.928.38.658.999.32Spec.29.4731.0832.6434.0735.3636.5837.7238.7839.6740.46All13.0113.8514.6615.416.0716.6917.2417.7518.2118.64专业来自百分百的投入CopyRight2010ByGFEDU14DefaultRates„Howtounderstandthehistoricaldefaultrate?„Theproportionoffirmsthatdefault,whichisastatisticalestimateofthetruedefaultprobability„Historicaldefaultrate„Higherratingsareassociatedwithlowerdefaultrates„Foraninitialcreditrating,creditriskincreasessharplywiththehorizon„Forinvestment-gradecredits,theincreaseismorethanproportionalwiththehorizon„Forspeculative-gradecredits,theincreaseislessthanproportionalwiththehorizon„Lowsamplesize„Innon-U.S.markets„WhenthetruepischangingovertimeHistoricaldefaultrate_()EXp=(2.1)专业来自百分百的投入CopyRight2010ByGFEDU15CumulativeandMarginaldefaultrates„Sequentialdefaultprocess„Wedefine„isthenumberofissuersratedRattheendofyearthatdefaultinT=t+N„isthenumberofissuersratedRattheendofyearthathavenotdefaultedbythebeginningofyeart+NDefaultprocess(1)[|()]ntNRt+[|()]mtNRt+专业来自百分百的投入CopyRight2010ByGFEDU16CumulativeandMarginaldefaultrates„Fiveimportantrates„MarginalDefaultRateduringYearT„SurvivalRate„MarginalDefaultRatefromStarttoYearT„CumulativeDefaultRate„AverageDefaultRateDefaultprocess(2)[|()]()[|()]NmtNRtdRntNRt+=+1()(1())NNiiSRdR==Π−1()()()NNNkRSRdR−=11(1())1(1)NNNiiCdRd==−Π−=−−12()()()()1()NNNCRkRkRkRSR=+++=−专业来自百分百的投入CopyRight2010ByGFEDU17CumulativeandMarginaldefaultrates„Moody’sMarginalDefaultprocessDefaultprocess(3)专业来自百分百的投入CopyRight2010ByGFEDU18Questions专业来自百分百的投入CopyRight2010ByGFEDU19TransitionProbabilities„Transitionmatrixgives…„Theprobabilityofmovingtooneratingconditionalontheratin