Credit Portfolio Management phần 9 potx

... months or so prior to the end of the current planning cycle ã One month or so prior to the end of the current planning year ã One month or so prior to the end of the current planning year ã One ... which others are dependent, ie: without them either key parts of the plan do not happen or other parts cannot take place until they are finished ● By identifying these actions...

Ngày tải lên: 09/08/2014, 19:21

... lessons, you can use the power of customer relationship management to keep your customers as your customers. And you can even expand those relation- ships and encourage customers to use more of your ... recommend you to potential new customers. Complacency Self-satis- faction, or smugness in the belief that your customers are your customers for life. Customer Relationship Manageme...

Ngày tải lên: 10/08/2014, 07:21

... obligors. So L 0.995 = N [1. 118 × G{PD} + 1. 288] 1 1 1 102 1 118 1 02 0995 10 2 1 288 − = − = − = − = ρ ρα ρ . . [] .[. ] . . G G LN GPD G α ρ ρα ρ = − + −         [] [] 11 LN G GPD α ρ ρα = − + ()         1 1 [] ... Received Originators U.S. 13 4 Europe 22 10 Total 35 14 Investors/Loan Portfolio Managers U.S. 24 9 Europe 15 8 Banks 11 11 Hedge Fun...

Ngày tải lên: 14/08/2014, 09:20

... 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

... 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

... 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 M...

Ngày tải lên: 14/08/2014, 09:21

... Services Pharmaceuticals N01 N02 N03 N04 N 05 N06 N07 N08 N09 N10 N11 N12 N13 N14 N 15 N16 N17 N18 N19 N20 N21 N22 N23 N24 N 25 N26 N27 N28 N29 N30 N31 N32 N33 N34 N 35 N36 N37 N38 N39 N40 N41 N42 N43 N44 N 45 N46 N47 N48 N49 N50 N51 N52 N53 N54 N 55 N56 N57 N58 N59 N60 N61 0 50 100 150 200 250 Retl/Whsl Electronic ... noninvestment grade credits of longer Credit Portfolio Mod...

Ngày tải lên: 14/08/2014, 09:21

... (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 ... à =< Pr ln W DPT A t t t t 0 2 1 2 à AA t tW tt = + 0 2 1 2 exp à 168 THE CREDIT PORTFO...

Ngày tải lên: 14/08/2014, 09:21

... 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

... a Credit Portfolio Model `` Obtained from some type of operational risk model Obtained 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 ... 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 MANAGE...

Ngày tải lên: 14/08/2014, 09:21

... EXHIBIT A.1 CreditPro Output for Defaults of BB-Rated Firms from 199 0 to 2000 Year 199 0 199 1 199 2 199 3 199 4 199 5 199 6 199 7 199 8 199 9 2000 # of BB-rated 286 241 243 286 374 428 471 551 663 794 888 firms # ... November 18, 199 9. 3. Note that this study did not deal with the frequency of operational losses. 4. Much of the discussion that follows is adapted from Ceske/Hernández ( 199...

Ngày tải lên: 14/08/2014, 09:21

... 95, 100 101 Portfolio Manager (Moody’s–KMV), 102 105 , 107 –119, 148–155, 157–158, 160–161, 163–178, 257 Portfolio value distribution, 116–118, 174–176 PricewaterhouseCoopers, 270, 275 Pricing: credit ... of, generally, 102 103 coefficient, generally, 297, 301 in Credit Risk+, 107 108 , 146 impact of, 30–31 implications of, 297–298 as implicit factor, 105 106 macro factor mode...

Ngày tải lên: 14/08/2014, 09:21

... between informa- FINAL THOUGHTS 193 15_app_4611.qxp 1/23/06 12: 59 PM Page 193 and can be used in evaluating its success in setting and pursuing strategic goals. (See Activity-Based Planning.) Activity-Based ... Inc., 199 6), 193 . 190 VETERANS BENEFITS: DISCOVERING THE COST OF DOING BUSINESS 14_4611.qxp 1/23/06 12:58 PM Page 190 tion technology leaders and support leaders. In tu...

Ngày tải lên: 14/08/2014, 11:21

... Investment Analysis and Portfolio Management 29 ã Investment ã Investment environment ã Investment vehicles ã Investment management process ã Investment policy ã Investment ... Ibbotson (20 02) . Investments: A Global Perspective. Prentice Hall Inc. Investment Analysis and Portfolio Management 32 2. Quantitative methods of investment ana...

Ngày tải lên: 14/08/2014, 22:20

... Seongyeon (2006). Do Investors Integrate Losses and Segregate Gains? Mental Accounting and Investor Trading Decisions. // Journal of Business, 2006, 79, p. 25 39- 2573. 11. Nofsinger, John R. (2008). ... Studies, No 19, p. 1531-1565. Investment Analysis and Portfolio Management 142 Hedging portfolios of shares using index options....

Ngày tải lên: 14/08/2014, 22:20