Credit Portfolio Management phần 10 potx

... dealers, 56–57, 60, 64, 204, 208, 692 Foreign exchange market, 1, 55–57, 78–79, 83, 97–98, 100 , 102 105 , 107 – 110, 129, 139, 144, 171–172, 175–177, 182–186, 188, 190–198, 200–201, 203–205, 212, 224, ... See International Bank for Recon- struction and Development IDA. See International Development Association IET. See Interest Equalization Tax IFC. See International Financial Cor...

Ngày tải lên: 06/08/2014, 10:20

... understand the project, what kinds of projects lend themselves to project management, and why it is important to start with the end in mind. To Lead and to Handle Crises Project managers come in many ... adds up to a project that misses the mark. ● Too much focus on project administration and not enough on project management In this high tech era with all manner of s...

Ngày tải lên: 07/08/2014, 02:20

... if (!Roles.IsUserInRole(“CORSAIR\\demouser”, “Application Role A”)) Roles.AddUserToRole(“CORSAIR\\demouser”, “Application Role A”); if (!Roles.IsUserInRole(“CORSAIR\\demouser”, “Application Role ... args) { Console.WriteLine(Roles.Provider.ApplicationName); if (Roles.RoleExists(“some random role name”)) Console.WriteLine(“The random role exists.”); else Console.WriteLine(“The random...

Ngày tải lên: 12/08/2014, 23:22

... 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

... 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

... factor in building such an optimal portfolio. Investors are looking to have in their portfolios asset classes that are Investment Analysis and Portfolio Management 163 P n Face value (nominal ... 0,30 46 ,10 Put 60 1,25 56,25 Call 20 0,25 20,00 Investment Analysis and Portfolio Management 159 9. What changes in investor’s circumstances cause the reba...

Ngày tải lên: 14/08/2014, 22:20