Credit Portfolio Management phần 6 pot

... (either lump sum or periodic) to the seller. 1 96 TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS EXHIBIT 6. 4 Credit Default Swap If credit event” occurs If credit event” does not occur Protection Buyer Protection Seller Payment Zero Premium CHAPTER 6 Credit ... tW tt =−       +         0 2 1 2 exp µσ σ 168 THE CREDIT PORTFOLIO MANAGEMENT PROCESS 190 TOOLS TO...

Ngày tải lên: 14/08/2014, 09:21

... (including loan portfolio managers) 2002 SURVEY OF CREDIT PORTFOLIO MANAGEMENT PRACTICES In March 2002, Rutter Associates, in cooperation with the International Association of Credit Portfolio Managers ... Association (ISDA), and the Risk Management Association (RMA), surveyed the state of credit portfolio management practices. We distributed questionnaires to the credit...

Ngày tải lên: 14/08/2014, 09:20

... BB-rated 2 86 241 243 2 86 374 428 471 551 66 3 794 888 firms # of BB-rated 1 060 1133158 10 firms defaulted Default rate 3.497% 2.490% 0.000% 0.350% 0. 267 % 0.701% 0 .63 7% 0.181% 0.754% 1.008% 1.1 26% 280 that ... FOR CREDIT PORTFOLIO MANAGEMENT S&P 500 MSFT MSFT 0.0314 CAT –0 .69 53 0.3423 1st Half S&P 500 MSFT 2nd Half S&P 500 MSFT MSFT 0.5279 MSFT 0.8 062 CAT –0.598...

Ngày tải lên: 14/08/2014, 09:21

... distribution: implications of, 7, 10–11, 35– 36, 119, 141–143, 1 46 147, 1 76 loans, 35– 36 operational risk, 275–2 76 Loss given default (LGD), 19, 21, 98, 1 16, 122, 164 – 165 , 167 , 175, 209, 239, 295–2 96 Loss given default ... institutions, 161 CreditPortfolioView (McKinsey and Company), 40, 109, 149, 134–1 36, 151–153, 161 CreditPro (S&P Risk Solutions), 44, 46 47, 97, 138...

Ngày tải lên: 14/08/2014, 09:21

... Manual 262 60 Governing Fundamentals and Power Management Woodward 47 Figure 8-1. "Peaking" or Peak Load Control Manual 262 60 Governing Fundamentals and Power Management ... Governing Fundamentals and Power Management Manual 262 60 46 Woodward Chapter 8. Managing Power for the Desired Result Peaking or Peak ... power. Manual 262 60 Governing F...

Ngày tải lên: 08/08/2014, 01:21

... about it. 48 CRISIS MANAGEMENT The number of tires pulled off the shelves came to 6. 5 million and there are demands by some consumer groups that the number be increased to 16. 5 million and the ... have been a more aggressive crisis management action on the part of the company. Organizations under siege must respond quickly if they truly believe that crisis management is important. GE...

Ngày tải lên: 10/08/2014, 07:20

... 93.98% 96. 39% 0. 964 9 166 Food Stores & Restaurants 1 78.10% 92.70% 96. 35% 0.9795 137 Forest & Building Products 1 55.00% 88 .64 % 96. 82% 0. 963 4 220 Healthcare Services 1 64 .23% 88 .62 % 96. 75% ... ) 0 6 18 6 0 4 28 2 060 4 11 862 80 124 6 125 4 250 0 0 22 22 Variance of Portfolio Returns=+ + = (.)( .) (.)( ) ( )( . )( . )( )( . )( . ) . 0 6 18 6 0 4 28 2 060 4...

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 ... 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 2 76 Subordinated notes 31 .6 35.0 32...

Ngày tải lên: 14/08/2014, 09:21

... 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 CCC 0.19 0.00 0.37 1.13 2 .64 11.52 62 .08 ... 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...

Ngày tải lên: 14/08/2014, 09:21

... 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 4.97 0.50 0.22 0.01 0.04 0.04 0. 26 5.38 88.51 4 .61 0. 86 0.13 0.22 0.04 0.11 ... migration Credit Portfolio Models 161 Credit Metrics (RMG’s CreditManager) 20% CSFB’s Credit Risk+ 0% KMV’s Portfolio Manager 69 % Macro Factor Model...

Ngày tải lên: 14/08/2014, 09:21