Credit Portfolio Management phần 7 pptx

... 6.01% 6.41% 6.36% 6. 87% .46 3 6. 17% 6.50% 6.63% 7. 18% .68 4 6.30% 6.68% 6.93% 7. 81% 1.13 5 6. 37% 6. 67% 7. 11% 7. 86% 1.19 6 6.46% 6.91% 7. 32% 8.36% 1.45 7 6.53% 6.94% 7. 51% 8.66% 1 .72 Semiannual 30/360 ... 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 30/360 yields. U.S. Treasuries Company X One-Year Forward Maturity...

Ngày tải lên: 14/08/2014, 09:21

... sense to share the credit and praise for a job well done with as many people as you can. Always try to bring credit to your team even if you did the brunt of the work. Upper management tends ... relationships between two events. Additionally, there are other charting options, all of which project management software enables you to apply to your particular model. Plain English Dummy t...

Ngày tải lên: 07/08/2014, 02:20

... desired change(s) at their own pace. THE PIONEERS OF INTELLECTUAL CAPITAL MANAGEMENT 177 EXHIBIT 9.4 Dow’s Knowledge Management Model IT Department KM Program Office KM Resource Center Information Stewards Senior ... tools. The Innovation Management (IM) Stage Dr. Herbert Dow, who founded Dow in 18 97, managed the innovation process very much in line with Edison’s model outlined in Cha...

Ngày tải lên: 09/08/2014, 19:21

... Operational Risk 270 Process Approaches 274 Factor Approaches 274 Actuarial Approaches 275 Notes 276 APPENDIX Statistics for Credit Portfolio Management Mattia Filiaci 277 Basic Statistics 278 Applications ... 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...

Ngày tải lên: 14/08/2014, 09:20

... Size Chemicals 1 67. 08% 88.20% 96.89% 0. 970 9 161 Consumer Products, 82.81% 95.48% 97. 29% 0.9 876 221 Branded 1 Consumer Products, Other 1 67. 78% 93 .70 % 97. 78% 0. 976 0 270 Drugs 1 80.32% 88.15% 93.43% 0. 978 8 1 37 Electronic ... 2.46 4.99 7. 35 9 .72 12.06 B 5 .78 12.64 17. 79 21 .76 25.1 27. 57 CCC 27. 78 35.96 40.96 46.68 48.81 52.26 Inv. grade 0.09 0.18 0.3 0.49 0 .76 0.88...

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 ... probability because Data Requirements and Sources for Credit Portfolio Management 87 EXHIBIT 3. 17 Implied Probabilities of Default from FreeCreditDerivatives.com Reco...

Ngày tải lên: 14/08/2014, 09:21

... 0 .70 0.05 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 0.11 0.58 7. 76 81.69 7. 98 ... 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 PR...

Ngày tải lên: 14/08/2014, 09:21

... Loss, and Capital Portfolio Credit- Demo Manager Manager Credit Risk+ Model Expected Loss 0.61% 0 .79 % 0 .73 % 0 .76 % Unexpected Loss 1.60% 1.04% 1.12% 1. 07% Capital 7. 96% 6.25% 7. 42% 7. 29% and so we ... grade credits of longer Credit Portfolio Models 1 47 EXHIBIT 4.26 Loss Distribution and Summary Table from Credit Risk+ Percentile Credit Loss Amount Mean 564,5 07, 60...

Ngày tải lên: 14/08/2014, 09:21

... with Credit Derivatives, and Chapter 7 cov- ers securitization. 182 TOOLS TO MANAGE A PORTFOLIO OF CREDIT ASSETS PART Two Tools to Manage a Portfolio of Credit Assets In the 2002 Survey of Credit ... 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 P...

Ngày tải lên: 14/08/2014, 09:21

... 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 PRACTICES Do ... Economic Capital—Sum Credit, Market, and Operational Risk Capital Credit Risk Capital Market Risk Capital Operational Risk Capital Economic Capital = + + Obtained from a Credit Portfol...

Ngày tải lên: 14/08/2014, 09:21