FRM金程讲义信用风险分析

金程教育FRM全景班讲义CreditRiskAnalysis讲师：吴轶CFA，FRM，CQF，SII日期：2009年7月地点：■上海□北京□深圳2专业来自百分百的投入Copyright2009ByGFEDU吴轶¾职称：金程教育学术研发总监，金程教育资深培训师，CFA（注册金融分析师），FRM（金融风险管理师），CQF（特许金融工程师），SII（英国证券投资分析师），复旦大学金融工程硕士，复旦大学财务管理学士，香港理工大学金融数学学士，中欧国际工商管理学院中国金融研究中心研究员，国家外汇管理局储备管理司风险管理处研究员，新加坡证券交易协会会员。¾授课：目前为止，共讲授CFA®LevelI40次，CFA®LevelII20次，CFA®LevelⅢ5次，FRM交通银行内部培训班2次，公开班5次，CFRM交通银行内部培训班2次，复旦MBA《宏观经济学》二次，复旦IMBA《国际财务管理》二次，复旦博士生《高等金融计量》2次，复旦硕士生《金融时间序列分析》2次和《金融风险管理》2次。倍受赞誉。¾著作：参与编写《金融计量经济学》教程；ISTP收入英文论文（独立作者）两篇；《数量经济技术经济研究》两篇论文；中国民营经济创新国际论坛出版英文会议论文一篇；第二届全国高等计量经济学年会出版会议论文一篇；高盛亚洲内部产品研发报告一份；花旗银行内部风险管理研究报告四篇；2007年全国博士生论坛管理学分论坛论文一等奖。¾客户：国家外汇管理局，高盛集团（亚洲）有限公司，北京高华证券有限公司，花旗银行（中国）有限公司，莱曼兄弟（香港），德意志银行上海分行，交通银行总行。¾联系：电话：86-13917952237Email:[e-mail]3专业来自百分百的投入Copyright2009ByGFEDUTopic1Introductiontocreditriskmanagement4专业来自百分百的投入Copyright2009ByGFEDUOverview¾CreditRiskManagement¾MeasuringActuarialDefaultRiskContents5专业来自百分百的投入Copyright2009ByGFEDUCreditRiskManagement6专业来自百分百的投入Copyright2009ByGFEDUOverview¾Measurementsystem¾Toquantifytheriskoflossesduetocounterpartydefault¾Notionalamounts¾Risk-weightedamounts¾External/internalcreditrating¾Internalportfoliocreditmodels¾Threedrivers¾Probabilityofdefault(PD)¾Exposureatdefault(EAD)¾Lossgivendefault(LGD)¾Creditexposure¾DefinedasthepositivevalueoftheassetDriversofCreditRisk7专业来自百分百的投入Copyright2009ByGFEDUOverviewCreditriskversusMarketriskWholefirmversuscounterpartyBusiness/tradingunitAggregationVeryimportantNotapplicableLegalissuesLongterm(years)Shortterm(days)TimehorizonSkewedtotheleftFattailsSymmetricDistributionsMarketriskRecoveryriskDefaultriskMarketriskonlySourceofriskCreditRiskMarketRiskItem8专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditrisk¾Defaultmode¾ThedistributionoflossesduetocreditriskfromaportfolioofNinstrumentscanbedescribedas¾Whatisb?¾WhatisCE?¾Whatisf?¾Onlyrandomvariableisthedefaultindicatorb¾ExpectedcreditlossisCreditlosses11()()(1)(1)NNiiiiiiiiECLEbCEfpCEf===××−=××−∑∑1(1)NiiiiCreditlossbCEf==××−∑9专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditrisk¾Casebackground¾Consideraportfolioof$100millionwith3bondsA,B,andC,withvariousprobabilitiesofdefault.Weassume:¾(1)thattheexposuresareconstant,¾(2)thattherecoveryincaseofdefaultiszero,¾(3)thatdefaulteventsareindependentacrossissuers.¾Thefollowingsdisplaytheexposuresanddefaultprobabilities.Casestudy(1)10专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditrisk¾CreditVaR¾Theexpectedcreditlossoftheportfoliois¾DistributionofcreditlossesCasestudy(2)()0.05250.10300.204513.25iiECLpCE=×=×+×+×=∑()95%iPCLCL≤≥CreditVaRThedeviationsfromthemean11专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditrisk¾Creditriskdiversification¾Aportfolioofloansislessriskythansingleloans¾ThemostimportantfeatureofcreditriskmanagementistheabilitytodiversifyacrossdefaultsDiversification12专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditriskQuestion(1)13专业来自百分百的投入Copyright2009ByGFEDUMeasuringcreditriskQuestion(2)14专业来自百分百的投入Copyright2009ByGFEDUMeasuringactuarialdefaultrisk15专业来自百分百的投入Copyright2009ByGFEDUCreditevent¾Creditevent¾Acrediteventisadiscretestate¾Eitherithappensornot¾DefinitionofISDA¾Bankruptcy¾Failuretopay¾Obligation/crossdefault¾Obligation/crossacceleration¾Repudiation/moratorium¾Restructuring¾Downgrade¾Currencyinconvertibility¾GovernmentalactionOverview16专业来自百分百的投入Copyright2009ByGFEDUCrediteventQuestion17专业来自百分百的投入Copyright2009ByGFEDUDefaultRates¾Creditratings¾Theratingisan“evaluationofcreditworthiness”issuedbyaratingagency¾representactuarialprobabilitiesofdefault¾Moody’sdefinition¾anopinionofthefutureability,legalobligation,andwillingnessofabondissuerorotherobligortomakefullandtimelypaymentsonprincipalandinterestduetoinvestorsCreditratings(1)18专业来自百分百的投入Copyright2009ByGFEDUDefaultRates¾Accountingratios¾Leverage¾Cashflowcoverage¾MDA¾Z-scoremodel¾Workingcapitalovertotalassets¾Retainedearningsovertotalassets¾EBITovertotalassets¾Marketvalueofequityovertotalliabilities¾NetsalesovertotalassetsCreditratings(2)0.40.9114CCC1.21.976B2.53.554BB4.76.543BBB8.010.238A19.524.628AA23.825.512AAAEBIT/IEBITDA/ID/CRatingCashflowcoverageleverage19专业来自百分百的投入Copyright2009ByGFEDUCreditratingsQuestion(1)20专业来自百分百的投入Copyright2009ByGFEDUCreditratingsQuestion(2)21专业来自百分百的投入Copyright2009ByGFEDUDefaultRates¾Howtounderstandthehistoricaldefaultrate?¾Theproportionoffirmsthatdefault,whichisastatisticalestimateofthetruedefaultprobability¾Historicaldefaultrate¾Higherratingsareassociatedwithlowerdefaultrates¾Foraninitialcreditrating,creditriskincreasessharplywiththehorizon¾Forinvestment-gradecredits,theincreaseismorethanproportionalwiththehorizon¾Forspeculative-gradecredits,theincreaseislessthanproportionalwiththehorizon¾Lowsamplesize¾Innon-U.S.markets¾WhenthetruepischangingovertimeHistoricaldefaultrate_()EXp=22专业来自百分百的投入Copyright2009ByGFEDUCumulativeandMarginaldefaultrates¾Sequentialdefaultprocess¾Wedefine¾isthenumberofissuersratedRattheendofyearthatdefaultinT=t+N¾isthenumberofissuersratedRattheendofyearthathavenotdefaultedbythebeginningofyeart+NDefaultprocess(1)[|()]ntNRt+[|()]mtNRt+23专业来自百分百的投入Copyright2009ByGFEDUCu