风险管理与金融机构课件Ch15优质PPT.ppt

风险管理与金融机构课件Ch15优质PPT.ppt

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RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009CreditRiskLossesandCreditVaRChapter151RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009CreditRiskinDerivativesTransactions（page278）ThreecaseslContractalwaysanassetlContractalwaysaliabilitylContractcanbeanassetoraliability2RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009GeneralResultlAssumethatdefaultprobabilityisindependentofthevalueofthederivativelDefinet1,t2,tn:

@#@timeswhendefaultcanoccurqi:

@#@defaultprobabilityattimeti.fi:

@#@ThevalueofthecontractattimetiR:

@#@Recoveryrate3RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009GeneralResultcontinuedlTheexpectedlossfromdefaultsattimetiisqi（1-R）Emax（fi,0）.lDefiningui=qi（1-R）andviasthevalueofaderivativethatprovidesapayoffofmax（fi,0）attimeti,thePVofthecostofdefaultsis4RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009ApplicationslIfcontractisalwaysanassetsothatfi0thenvi=f0andthecostofdefaultsisf0timesthetotaldefaultprobability,times1RlIfcontractisalwaysaliabilitythenvi=0andthecostofdefaultsiszerolInothercaseswemustvaluethederivativemax（fi,0）foreachvalueofi5UsingBondYieldsforInstrumentsintheFirstCategoryAllinstrumentsthatpromisea（non-negative）payoffattimeTshouldbereducedinpricebythesameamountfordefaultriskwheref0andf0*aretheno-defaultandactualvaluesoftheinstrument;@#@B0andB0*aretheno-defaultandactualvaluesofazero-couponbondmaturingattimeT;@#@yandy*aretheyieldsonthesezerocouponbondsRiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull20096Example15.1lA2-yearoptionhasaBlack-Scholesvalueof$3lAssumea2yearzerocouponbondissuedbythecompanyhasayieldof1.5%greaterthantheriskfreeratelValueofoptionis3e-0.0152=2.91RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull20097Example15.2lAbankentersintoa2-yearforwardcontracttobuy1millionouncesofgoldfor$800perouncelvi=exp（-riti）Emax（Fi-800,0）whereFiistheforwardpriceattimetiandriistheriskfreerateforamaturityoftilThiscanbecalculatedusingstandardoptionpricingtheoryRiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull20098RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009ExpectedExposureonPairofOffsettingInterestRateSwapsandaPairofOffsettingCurrencySwaps（Figure15.2,page317-8）ExposureMaturityCurrencyswapsInterestRateSwaps9RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009InterestRatevsCurrencySwapslTheuisarethesameforbothlThevisforaninterestrateswapareonaveragemuchlessthanthevisforacurrencyswaplTheexpectedcostofdefaultsonacurrencyswapisthereforegreater.10RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009Two-SidedDefaultRisk（page318）Intheoryacompanyshouldincreasethevalueofadealtoallowforthechancethatitwillitselfdefaultaswellasreducingthevalueofthedealtoallowforthechancethatthecounterpartywilldefault11RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009CreditRiskMitigation（page319-21）lNettinglCollateralizationlDowngradetriggers12RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009NettinglWereplacefibyinthedefinitionofvitocalculatetheexpectedcostofdefaultsbyacounterpartywherejcountsthecontractsoutstandingwiththecounterpartylTheincrementaleffectofanewdealontheexposuretoacounterpartycanbenegativelBankssometimesrunlargeMonteCarlosimulationsovertheweekendandstorethevalueofeachcounterpartysportfolioforeachtrialatfuturetimeslTocalculatetheincrementaleffectofanewtransactiononexpectedexposureitisthenonlynecessarytosimulatethattransaction13RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009CollateralizationlContractsaremarkedtomarketsperiodically（e.g.everyday）lIftotalvalueofcontractsPartyAhaswithpartyBisaboveaspecifiedthresholdlevelitcanaskPartyBtopostcollateralequaltotheexcessofthevalueoverthethresholdlevellAfterthatcollateralcanbewithdrawnormustbeincreasedbyPartyBdependingonwhethervalueofcontractstoPartyAdecreasesorincreases14RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009DowngradeTriggerslAdowngradetriggerisaclausestatingthatacontractcanbeclosedoutbyPartyAwhenthecreditratingoftheotherside,PartyB,fallsbelowacertainlevellInpracticePartyAwillonlycloseoutcontractsthathaveanegativevalue