风险管理与金融机构课件Ch14PPT格式课件下载.ppt

风险管理与金融机构课件Ch14PPT格式课件下载.ppt

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RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditRisk:

@#@EstimatingDefaultProbabilitiesChapter141RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditRatings（page289-90）lIntheS&@#@P/Fitchratingsystem,AAAisthebestrating.AfterthatcomesAA,A,BBB,BB,B,andCCClThecorrespondingMoodysratingsareAaa,Aa,A,Baa,Ba,B,andCaalBondswithratingsofBBB（orBaa）andaboveareconsideredtobe“investmentgrade”lMostbankshavetheirowninternalratingssystemsforborrowers2RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009AltmansZ-score（Manufacturingcompanies）page291lX1=WorkingCapital/TotalAssetslX2=RetainedEarnings/TotalAssetslX3=EBIT/TotalAssetslX4=MarketValueofEquity/BookValueofLiabilitieslX5=Sales/TotalAssetsZ=1.2X1+1.4X2+3.3X3+0.6X4+0.99X5IftheZ3.0defaultisunlikely;@#@if2.7Z3.0weshouldbeonalert.If1.8Z2.7thereisamoderatechanceofdefault;@#@ifZ1.8thereisahighchanceofdefault3RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009EstimatingDefaultProbabilitieslAlternatives:

@#@lUsehistoricaldatalUsebondpricesorassetswapslUseCDSspreadslUseMertonsmodel4RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009HistoricalDataHistoricaldataprovidedbyratingagenciescanbeusedtoestimatetheprobabilityofdefault5RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CumulativeAverageDefaultRates%（1970-2007,Moodys）Table14.1,page2926RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009InterpretationlThetableshowstheprobabilityofdefaultforcompaniesstartingwithaparticularcreditratinglAcompanywithaninitialcreditratingofBaahasaprobabilityof0.170%ofdefaultingbytheendofthefirstyear,0.478%bytheendofthesecondyear,andsoon7RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009DoDefaultProbabilitiesIncreasewithTime?

@#@lForacompanythatstartswithagoodcreditratingdefaultprobabilitiestendtoincreasewithtimelForacompanythatstartswithapoorcreditratingdefaultprobabilitiestendtodecreasewithtime8RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009DefaultIntensityvsUnconditionalDefaultProbabilitylThedefaultintensityorhazardrateistheprobabilityofdefaultconditionalonnoearlierdefaultlTheunconditionaldefaultprobabilityistheprobabilityofdefaultasseenattimezerolWhatarethedefaultintensitiesandunconditionaldefaultprobabilitiesfromtheMoodystableforaCaaratecompanyinthethirdyear?

@#@9RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009RecoveryRateTherecoveryrateforabondisusuallydefinedasthepriceofthebondimmediatelyafterdefaultasapercentofitsfacevalue10RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009RecoveryRates;@#@Moodys:

@#@1982to2007（Table14.2,page293）11RecoveryRatesDependonDefaultRateslMoodysbestfitestimateforthe1982to2007periodisAveRecoveryRate=59.333.06SpecGradeDefaultRatelR2ofregressionisabout0.5R2ofregressionwasabout0.5.RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull200912RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditDefaultSwaps（page294）lBuyeroftheinstrumentacquiresprotectionfromtheselleragainstadefaultbyaparticularcompanyorcountry（thereferenceentity）lExample:

@#@Buyerpaysapremiumof90bpsperyearfor$100millionof5-yearprotectionagainstcompanyXlPremiumisknownasthecreditdefaultspread.ItispaidforlifeofcontractoruntildefaultlIfthereisadefault,thebuyerhastherighttosellbondswithafacevalueof$100millionissuedbycompanyXfor$100million（Severalbondsmaybedeliverable）13RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CDSStructure（Figure14.1,page294）DefaultProtectionBuyer,ADefaultProtectionSeller,B90bpsperyearPayoffifthereisadefaultbyreferenceentity=100（1-R）Recoveryrate,R,istheratioofthevalueofthebondissuedbyreferenceentityimmediatelyafterdefaulttothefacevalueofthebond14RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009OtherDetailslPaymentsareusuallymadequarterlyinarrearslIntheeventofdefaultthereisafinalaccrualpaymentbythebuyerlSettlementcanbespecifiedasdeliveryofthebondsorincash（severalbondsareusuallydeliverable）lSupposepaymentsaremadequarterlyintheexamplejustconsidered.Whatarethecashflowsifthereisadefaultafter3yearsand1monthandrecoveryrateis40%?

@#@15RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009AttractionsoftheCDSMarke