Credit Portfolio Management phần 3 pdf

... Count Bank loans 83. 5 27.2 529 Senior secured notes 68.6 31 .8 205 Senior unsecured notes 48.6 36 .1 245 Senior subordinated notes 34 .5 32 .6 276 Subordinated notes 31 .6 35 .0 32 3 Junior subordinated ... results from the 2002 Survey of Credit Portfolio Management Practices. Data Requirements and Sources for Credit Portfolio Management 91 2002 SURVEY OF CREDIT PORTFOL...

Ngày tải lên: 14/08/2014, 09:21

... 0.19 0.24 0 .32 0.44 0.67 A 0. 03 0.07 0.11 0.16 0.25 0 .33 0.44 0.55 0. 73 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 ... relationship responsibilities) 40% 13% 8% Dedicated credit group other than Credit Portfolio Management 25% 30 % 15% Credit Portfolio Management 10% 25%...

Ngày tải lên: 14/08/2014, 09:20

... credit portfolios, this means that scenarios are shifted into the region where portfolio value is more sensitive. *See Xiao (2002). 128 THE CREDIT PORTFOLIO MANAGEMENT PROCESS 96 THE CREDIT PORTFOLIO ... 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 0.11 0.58 7.76 81.69 7.98 0.87 1.00 B 0.00 0.09 0.28 0.47 6.96 83. 05 3. 78 5 .39...

Ngày tải lên: 14/08/2014, 09:21

... international financial management. Part 3 (Chapters 9 through 12) explains the measurement and management of exchange rate risk. Part 4 (Chapters 13 through 16) describes the management of long-term ... Financial Management, Abridged Tenth Edition, presumes an understanding of basic corporate finance. It is suitable for both undergraduate and master’s level courses in international...

Ngày tải lên: 06/08/2014, 10:20

... 27. 31 . 26. 32 . 33 . 37 . 38 . 48. 44. 41. 51. 50. 45. 58. 61. 47. 63. 73. 60. 71. 80. TOTAL TOTAL TOTAL Human Resources Procurement Management Management Quality Management 5. 6. 8. 9. 13. ... E 26. C 27. B 28. A 29. D 30 . B 31 . C 32 . A 33 . A 34 . A 35 . B 36 . B 37 . D 38 . C 39 . A 40. B 41. D 42. A 43. B 44. A 9755.ch05 10 /31 /00 9:45 AM Page 63 5 Level...

Ngày tải lên: 09/08/2014, 16:21

... 276 APPENDIX Statistics for Credit Portfolio Management Mattia Filiaci 277 Basic Statistics 278 Applications of Basic Statistics 30 6 Important Probability Distributions 31 4 Notes 32 4 References 32 7 Index 33 3 Contents ... Process Modern Portfolio Theory 27 Challenges in Applying Modern Portfolio Theory to Portfolios of Credit Assets 34 Elements of the Credit Portfol...

Ngày tải lên: 14/08/2014, 09:20

... Services Pharmaceuticals N01 N02 N 03 N04 N05 N06 N07 N08 N09 N10 N11 N12 N 13 N14 N15 N16 N17 N18 N19 N20 N21 N22 N 23 N24 N25 N26 N27 N28 N29 N30 N31 N32 N 33 N34 N35 N36 N37 N38 N39 N40 N41 N42 N 43 N44 N45 N46 N47 N48 N49 N50 N51 N52 N 53 N54 N55 N56 N57 N58 N59 N60 N61 0 50 100 150 200 250 Retl/Whsl Electronic ... 6,816,507,742 BBB 1,0 73 $ 23, 731 , 635 ,122 BB 959 $17,164,000,06...

Ngày tải lên: 14/08/2014, 09:21

... 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 $ (Billions) Institutional Pro Rata 1Q 2Q 3Q ... (Billions) Institutional Pro 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 2000 2001 2002 44 54 69 53 54 85 58 60 58 71 62 52 58 49...

Ngày tải lên: 14/08/2014, 09:21

... Yields Spread 1 5.60% 5.85% .25 2 5.99% 6 .34 % .35 3 6.15% 6.60% .45 4 6.27% 6.87% .60 5 6 .34 % 7.04% .70 6 6.42% 7.22% .80 7 6.48% 7 .38 % .90 Semiannual 30 /36 0 yields. U.S. Treasuries Company X One-Year ... One-Year Credit Spreads (Years) Zeros Forwards Zeros Forwards N Years Forward 1 5.61% 5.61% 5.86% 5.86% .25 2 6.01% 6.41% 6 .36 % 6.87% .46 3 6.17% 6.50% 6. 63% 7.18% .68 4 6...

Ngày tải lên: 14/08/2014, 09:21

... Scale) Frequency (Number of Occurrences) 1 23 276 6 23 1,406 3, 885 10, 737 36 ,36 5 1 23, 1 63 511,184 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 ... from a VaR Model Credit Risk 13. 6 Market Risk 3. 9 Operating Risk 6.8 Private Equity Risk 5 .3 Goodwill 8.8 Asset Capital Tax 3. 7 Diversification Effect (9....

Ngày tải lên: 14/08/2014, 09:21