Credit Portfolio Management phần 1 potx
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...
Credit Portfolio Management phần 9 potx
... 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...
Credit Portfolio Management phần 10 potx
... 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,...
Credit Portfolio Management phần 2 pdf
... 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...
Credit Portfolio Management phần 3 pdf
... (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...
Credit Portfolio Management phần 4 pdf
... 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...
Credit Portfolio Management phần 5 doc
... 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...
Credit Portfolio Management phần 6 pot
... 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...
Credit Portfolio Management phần 7 pptx
... 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...
Credit Portfolio Management phần 8 ppsx
... 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...