Credit Portfolio Management phần 1 potx

... obligors. So L 0.995 = N [1. 118 × G{PD} + 1. 288] 1 1 1 102 1 118 1 02 0995 10 2 1 288 − = − = − = − = ρ ρα ρ . . [] .[. ] . . G G LN GPD G α ρ ρα ρ = − + −         [] [] 11 LN G GPD α ρ ρα = − + ()         1 1 [] ... Received Originators U.S. 13 4 Europe 22 10 Total 35 14 Investors/Loan Portfolio Managers U.S. 24 9 Europe 15 8 Banks 11 11 Hedge Fun...

Ngày tải lên: 14/08/2014, 09:20

... Defaults Probability Normal Lognormal Binomial Poisson 0 0.02 0.04 0.06 0.08 0 .1 0 .12 0 .14 0 .16 0.000 1. 022 0. 310 0.354 Skewness Coefficient EXHIBIT A .1 CreditPro Output for Defaults of BB-Rated Firms from 19 90 to 2000 Year 19 90 19 91 1992 19 93 19 94 19 95 19 96 19 97 19 98 19 99 ... Variance (equation A.29) w 1 2 σ 1 2 w 1 w 2 σ 12 w 1 w 3 σ 13 . . . w...

Ngày tải lên: 14/08/2014, 09:21

... of, 71, 79, 81 82, 10 3 10 4, 11 0, 11 4, 11 8, 15 4 15 5, 16 7, 16 9 17 4, 300 Expected loss, 8–9, 11 9, 13 0, 14 7, 17 6 17 8 Expected risk, 28–29 Expected spread, 17 6 Explicit factor models, 13 3 14 1 Exponential ... 32–34 two-asset portfolio, 31 32 Portfolio Management Data (PMD) (S&P), 92–94, 95, 10 0 10 1 Portfolio Manager (Moody’s–KMV), 10 2 10 5, 10 7 11 9,...

Ngày tải lên: 14/08/2014, 09:21

... Countries Pool: ALL (19 91 2000), N.R. Adjusted Y1 Y2 Y3 Y4 Y5 Y6 Y7 Y8 Y9 Y10 AAA 0 0 0.06 0 .13 0 .13 0 .13 0 .13 0 .13 0 .13 0 .13 AA 0.02 0.06 0.08 0 .11 0 .15 0 .19 0.24 0.32 0.44 0.67 A 0.03 0.07 0 .11 0 .16 0.25 ... 0.73 BBB 0.2 0.38 0.62 1. 03 1. 49 1. 87 2 .12 2.4 2. 71 3.25 BB 0.83 2.39 4.32 5.9 7.44 9 .12 10 .52 11 .5 12 .95 13 .78 B 6.06 12 .37 16 .74 19 .78 22 .15...

Ngày tải lên: 14/08/2014, 09:20

... (or 1 – recovery)]. q e RR e yr s 1 0 00243 1 1 1 107 0 8090= − − = − − = −−. . .% q e RR e yr s 1 0 00243 1 1 1 1 01 0 2697= − − = − − = −−. . .% q e RR st = − − − 1 1 90 THE CREDIT PORTFOLIO MANAGEMENT ... results from the 2002 Survey of Credit Portfolio Management Practices. Data Requirements and Sources for Credit Portfolio Management 91 2002 SURVEY OF...

Ngày tải lên: 14/08/2014, 09:21

... calculated.) σσσσ rA A A A ww=++() 1 2 1 2 2 2 2 22 1 2 ρ σσ σσρ σσ (,) ()(,) rr ww ww ww ww ff AB AB A B AB A B rr AB = +++ 11 1 2 222 2 12 211 212 10 6 THE CREDIT PORTFOLIO MANAGEMENT PROCESS the value ... 0 .10 0.00 0.00 0.00 AA 0.70 91. 04 7.47 0.57 0.05 0 .15 0.02 0.00 A 0.07 2.34 91. 55 5.08 0.64 0.26 0. 01 0.05 BBB 0.03 0.30 5.65 87.96 4.70 1. 05 0 .11 0 .19 BB 0.02 0...

Ngày tải lên: 14/08/2014, 09:21

... Correlation Statistics KMV vs. CR+ • 16 / 10 0 ( 51 15 0 th ) • 5 / 10 0 (1, 519 1, 618 th ) • 14 / 10 0 (2,987–3,086 th ) KMV vs. RMG • 53 / 10 0 ( 51 15 0 th ) • 21 / 10 0 (1, 519 1, 618 th ) • 63 / 10 0 (2,987–3,086 th ) EXHIBIT ... Demonstration Model AAA AA A BBB BB B CCC 92. 61 6.83 0.42 0 .10 0.03 0.00 0.00 0.00 0.60 91. 78 6.78 0.63 0.05 0 .12 0.03 0. 01 0.06 2.40 91. 82...

Ngày tải lên: 14/08/2014, 09:21

... Hybrid Funds 54.7% 18 8 18 6 TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS EXHIBIT 5 .1 Leveraged Loan Volumes Source: Standard & Poor’s. 3 6 8 11 10 14 11 12 14 19 14 13 18 9 10 9 10 14 8 2 12 41 48 45 58 43 70 47 48 44 53 48 39 40 39 35 25 36 34 22 13 20 0 10 20 30 40 50 60 70 80 90 $ ... Trading 19 1 EXHIBIT 5.7 Secondary Loan Volumes Source: Loan Pricing...

Ngày tải lên: 14/08/2014, 09:21

... exten- Credit Derivatives 223 Time 0 1 2 δ δ δ B (1, 2) u 1 π 1 δ v (1, 2) u 1 v(0 ,1) 1 – π 1 v(0,2) δδ δ B (1, 2) d 1 π 1 δ 1 v (1, 2) d 1 π 1 q 0 π 0 q 0 (1 – π 0 ) (1 – q 0 ) π 0 (1 – q 0 ) (1 – π 0 ) eled ... 1 2 1 r (1) u q 0 1 B (1, 2) u B(0 ,1) r(0) B(0,2) 1 r (1) d 1 q 0 1 B (1, 2) d Time 0 1 2 π 0 δδ Default 1 π 1 1– π 0 1 δ Defau...

Ngày tải lên: 14/08/2014, 09:21

... Scale) Frequency (Number of Occurrences) 12 3 276 623 1, 406 3,885 10 ,737 36,365 12 3 ,16 3 511 ,18 4 2,600,000 0 2 4 6 8 10 12 14 16 18 20 issue the committee raised is the amount of credit risk that is transferred to ... 3,000 19 % 222 Stand-Alone Marginal Diversified Assets Volatility Capital Capital Capital Business 1 1,000 20% 80 33 45 Business 2 1, 000 25% 10 0 36 56 B...

Ngày tải lên: 14/08/2014, 09:21