第11章信用风险1

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1CreditMetricsCreditMetrics2201222732012227420122275””;;,”;APEX20122276199440%1994123500199511199719971997LTCM()LTCM()20122277199821998619992()5.51.455.51.45()102012227820122279201222710201222711121——1.——22.——33.——13141511.——2.——16171.1030103022.18191.22.20212212234231000100100BR——m——mmf——ff——f1bb——b125——RkBR+m+f1+k=1+1k11-b1-R261.k=BR+mk=BR+mmm.29ErErEr=p1+k+1-p)γ1+kp—γ—pp1+kγ1-p)γ1+k30γEr=p1+kEr=p1+k31k≤k*kEkErkpkk*pkErkErkk*.32RetailRetail——199820%20%102creditcreditrationingm.RAROCrisk-adjustedreturnoncapital×zRAROCROE3511××36QualitativeModels19431943(StateplauterBankofCommerceTrusts)5CCharacterCharacterCapacityCapitalCollateral()Collateral()Condition()1.5.p0—1Logit01FZi=1/1+e-ZiZZ1.2X11.4X23.3X30.6X41.0X5X1/X2/X2/X3/X/X4/X5/45ZZAltmanZZ1.81AltmanZZ1.81AltmanZ46AltmanZ1.81Z48RAROCrisk-adjustedreturnoncapitalRAROCRAROCRAROCRAROCRAROCRAROCRAROCS&PAAAAAAARAROCRRRi-RGiRiRRG11.1%RAROCRAROCCreditMetrics55CreditMetricsCreditMetricsJ.P.——————57VARMTMMTM5895%99%11.22.593.44.11212604BB1007%57%5108.55BBBBBBBB7.5617.5Pi(Vi)AAA0.0001114.82AA0.0031114.60A0014511403A0.0145114.03BBB0.0605113.27BB0.8548108.55B0.056098.43CCC0.009086.820.002054.12621.7.585.48%108.55CCC0.9%86.82BBB()()()27.1130530.11070491.170436.170372.177432=++++=PV637.5∑=8iiVpV∑=1iiipVAR()1822iiVARpVVσ⎡⎤=−⎢⎥⎣⎦∑()1i=⎢⎥⎣⎦∑64Vσ7.7-AAA0.00010.011456.756745.65360.0046AA0.00310.35536.536742.72910.1325A00145165345966735602105162A0.01451.65345.966735.60210.5162BBB0.06056.85285.206727.11021.6402BB0.854892.78850.48670.23690.2025B0.05605.5121-9.633392.79955.1968CCC0.00900.7814-21.2433451.27584.06150.00200.1082-53.94332,909.87445.8197=108.06=17.5740419108.06=4.195%VAR:1.65=6.911%VAR:2.33=9.76(*)5%VAR95%108.06-98.43=9.63()5%VAR95%108.0698.439.631%VAR:99%108.06-86.82=21.24(*)5%VAR6.70%VAR5.60%+0.90%+0.20%=6.70%1%VAR1.10%VAR0.90%+0.20%=1.10%65%%868298301080686.8298.30108.0621.249.76*2.331%VAR,,1%661%1%7.221.249.761%108.06-21.24=86.82671.22.3.685ABBB1002007.87.80.3%691BBB2A79.69%79.15%86.93%91.05%=79.15%864646447.9707.94213.6333599%3.3599%2.337.817172II020%50%100%8%4%73II1274II7512150%347650%100%150%50%100%150%PDPDLGDEADM77611.2.33.4.5.6.78MM79

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