Credit Portfolio Management phần 2 pdf

... 1 and 2 ( ρ 1 ,2 ): σσσ ρσσ p ww ww 2 1 2 1 2 2 2 2 2 1 21 2 12 2=++ , σσσ σ p ww ww 2 1 2 1 2 2 2 2 2 121 2 2= ++ , σ iii EER R 22 =−[( [ ] ) ] Modern Portfolio Theory and Elements of the Portfolio ... 6 18 6 0 4 28 20 604 118 628 0 124 6 125 4 25 0 0 0 22 22 Variance of Portfolio Returns=+ + = (.)( .) (.)( ) ( )( . )( . )( )( . )( . ) . 0 6 18 6 0 4...

Ngày tải lên: 14/08/2014, 09:20

... some results from the 20 02 Survey of Credit Portfolio Management Practices. Data Requirements and Sources for Credit Portfolio Management 91 20 02 SURVEY OF CREDIT PORTFOLIO MANAGEMENT PRACTICES We ... 83.5 27 .2 529 Senior secured notes 68.6 31.8 20 5 Senior unsecured notes 48.6 36.1 24 5 Senior subordinated notes 34.5 32. 6 27 6 Subordinated notes 31.6 35.0 323...

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 = +++ 111 2 222 2 12 21 121 2 106 THE CREDIT PORTFOLIO MANAGEMENT PROCESS the value ... credit portfolios, this means that scenarios are shifted into the region where portfolio value is more sensitive. *See Xiao (20 02) . 128 THE CREDIT PORTFOLIO...

Ngày tải lên: 14/08/2014, 09:21

... Smith 1999 20 00 20 01 20 02 1. Net sales product A $25 1,300 $25 3 ,20 0 $27 0,000 $26 3,100 2. Net sales product B 423 ,20 0 439 ,20 0 553,900 561,900 3. Net sales total 674,500 6 92, 400 823 ,900 825 ,000 4. ... product A 95.6 92. 0 88.0 84.7 5. Percent of quota product B 120 .4 122 .3 134.9 130.8 6. Gross profits product A $50 ,26 0 $50,640 $54,000 $ 52, 620 7. Gross profits product...

Ngày tải lên: 31/07/2014, 05:20

... brand. 52 For example, IBM multiplied its patent licensing revenue from $90 million in 1990 to around $1.5 billion in 20 01. 53 For example, 3M and Microsoft. 54 Supra note 4, pp. 21 7 22 2. 55 Douglas ... Weidner, Knowledge Management Workshop, KM Conference, April 22 , 20 02. 56 See, for example, a survey done by Ernst & Young in Rudy Ruggles, “The State of the Notion: Knowledg...

Ngày tải lên: 09/08/2014, 19:21

... CHAPTER 1: A Credit Portfolio Model Inside the IRB Risk Weights 21 Note 23 PART ONE The Credit Portfolio Management Process 25 CHAPTER 2 Modern Portfolio Theory and Elements of the Portfolio 27 Modeling ... Operational Risk 27 0 Process Approaches 27 4 Factor Approaches 27 4 Actuarial Approaches 27 5 Notes 27 6 APPENDIX Statistics for Credit Portfolio Managem...

Ngày tải lên: 14/08/2014, 09:20

... Services Pharmaceuticals N01 N 02 N03 N04 N05 N06 N07 N08 N09 N10 N11 N 12 N13 N14 N15 N16 N17 N18 N19 N20 N21 N 22 N23 N24 N25 N26 N27 N28 N29 N30 N31 N 32 N33 N34 N35 N36 N37 N38 N39 N40 N41 N 42 N43 N44 N45 N46 N47 N48 N49 N50 N51 N 52 N53 N54 N55 N56 N57 N58 N59 N60 N61 0 50 100 150 20 0 25 0 Retl/Whsl Electronic ... 13,333,491 56,5 62, 108 Tenneco Automotive Inc. 12, 4 12, 990 55...

Ngày tải lên: 14/08/2014, 09:21

... Rata 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 1997 1998 1999 20 00 20 01 20 02 44 54 69 53 54 85 58 60 58 71 62 52 58 49 44 34 46 48 30 15 32 EXHIBIT 5 .2 Primary Market for Leveraged ... EDF r t =− ≡−+ −       ≡+ −       − [] [] * 2 2 1 dd r t 22 * −≡ − µ σ d A DPT rt t t 2 0 2 1 2 ≡       +−       ln σ σ AA r t tW tt =−   ...

Ngày tải lên: 14/08/2014, 09:21

... managers, fol- lowed by credit linked notes and total return swaps. 20 8 TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS 20 02 SURVEY OF CREDIT PORTFOLIO MANAGEMENT PRACTICES Rank the credit derivative ... of Securitization 22 7 EXHIBIT 7 .2 CDO Issuance Source: Ellen Leander, “CDO Industry at a Crossroad,” Risk, May 20 02. 0 20 40 60 80 100 120 1993 1994 1995 1996 1997...

Ngày tải lên: 14/08/2014, 09:21

... results from the 20 02 Survey of Credit Portfolio Manage- ment Practices that we described in Chapter 1. 26 6 CAPITAL ATTRIBUTION AND ALLOCATION 20 02 SURVEY OF CREDIT PORTFOLIO MANAGEMENT PRACTICES Do ... Volatility Capital Capital Capital Business 1 1,000 20 % 80 33 45 Business 2 1,000 25 % 100 36 56 Business 3 1,000 40% 160 77 121 Total 340 146 22 2 Unattributed –118 7...

Ngày tải lên: 14/08/2014, 09:21