Credit Portfolio Management phần 4 pdf

... particularly at extreme loss levels. Credit Portfolio Models 129 Source: RiskMetrics Group, Inc. –3 –2 –1 0 1 2 3 4, 410 4, 420 4, 430 4, 440 4, 450 Factor Return Portfolio Value A standard Monte Carlo ... Borrower Senior Secured 33 35 31 28 Senior Unsecured 47 49 44 43 Subordinated Secured 47 47 38 44 Subordinated Unsecured 64 65 57 59 CHAPTER 4 Credit Portfolio Mo...

Ngày tải lên: 14/08/2014, 09:21

... 16. 74 19.78 22.15 24. 21 26.69 28.57 29 .4 30 .45 CCC 27.07 35.12 40 .36 44 .55 47 .73 49 .52 50. 94 51.73 54. 09 55.73 Inv. grade 0.08 0.15 0. 24 0.38 0.53 0.66 0.78 0.91 1.08 1.26 Spec. grade 4. 45 8.53 ... 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 0.33 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...

Ngày tải lên: 14/08/2014, 09:20

... 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 PRACTICES We asked ... zero coupon the risky bond where bond benchmark bond RR is the recovery rate in default 1 244 4 3 44 4 In this way, it is very similar to Moody’s RiskCalc for Public Compa...

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... Process Modern Portfolio Theory 27 Challenges in Applying Modern Portfolio Theory to Portfolios of Credit Assets 34 Elements of the Credit Portfolio Modeling Process 38 Note 40 CHAPTER 3 Data ... 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...

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... Services Pharmaceuticals N01 N02 N03 N 04 N05 N06 N07 N08 N09 N10 N11 N12 N13 N 14 N15 N16 N17 N18 N19 N20 N21 N22 N23 N 24 N25 N26 N27 N28 N29 N30 N31 N32 N33 N 34 N35 N36 N37 N38 N39 N40 N41 N42 N43 N 44 N45 N46 N47 N48 N49 N50 N51 N52 N53 N 54 N55 N56 N57 N58 N59 N60 N61 0 50 100 150 200 250 Retl/Whsl Electronic ... grade credits of longer Credit Portfolio Models 147 EXHIBIT 4....

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 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 44 34 46 48 30 15 32 EXHIBIT...

Ngày tải lên: 14/08/2014, 09:21

... π 0 = 0. 04, π 1 = 0.05, r(0) = 3%, r(1) u = 3.2%, r(1) d = 2.8%, and δ = 0 .4, then v(0,2) = 0.6(0. 04) (0 .4) e –0.03 )(e –0.032 ) + 0.6(0.96)(e –0.032 )(0.05(0 .4) + 0.95) + (0 .4) (0. 04) (0 .4) (e –0.03 )(e –0.028 ) ... Yields Par 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 Semian...

Ngày tải lên: 14/08/2014, 09:21

... 0 .4 × 1,000 × 0.20 × 1 = 80 Business 2 = 0 .4 × 1,000 × 0.25 × 1 = 100 Business 3 = 0 .4 × 1,000 × 0 .40 × 1 = 160 Note that the sum of the stand-alone capital for the three business units is 340 . ... from the 2002 Survey of Credit Portfolio Manage- ment Practices that we described in Chapter 1. 266 CAPITAL ATTRIBUTION AND ALLOCATION 2002 SURVEY OF CREDIT PORTFOLIO MANAGEMENT P...

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... of BB-rated 286 241 243 286 3 74 428 47 1 551 663 7 94 888 firms # of BB-rated 10601133158 10 firms defaulted Default rate 3 .49 7% 2 .49 0% 0.000% 0.350% 0.267% 0.701% 0.637% 0.181% 0.7 54% 1.008% 1.126% 280 that ... Difference Toss from Mean Toss from Mean Toss from Mean 1 6.6 74 5 2.007 9 12. 840 2 5. 840 6 0. 340 10 5. 840 3 2.507 7 2.507 11 0.1736 4 11.6 74 8 2.007 12 2.507 Signif...

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... Solutions), 44 , 46 47 , 97, 138 Credit quality, in test portfolio, 1 54 155 Credit rating, 223 Credit ratings agencies, 39 Credit Rating System (CRS) (Fitch Risk Management) , 62–63, 72– 74 Credit Research ... (Moody’s), 44 45 , 65 Credit risk: capital, 39, 245 – 246 , 249 implications of, 206–208 regulatory capital and, 17 uncertainty and, 209 Credit Risk+ (Credit Sui...

Ngày tải lên: 14/08/2014, 09:21