Credit Portfolio Management phần 1 potx

[...]... the Credit Portfolio Models Empirical Comparison of the Credit Portfolio Models What Models Are Financial Institutions Using? Notes APPENDIX TO CHAPTER 4: Technical Discussion of Moody’s– KMV Portfolio Manager Mattia Filiaci Default Correlation Facility Valuation Generating the Portfolio Value Distribution Outputs Notes 11 0 13 3 14 1 14 8 15 3 16 1 16 1 16 2 16 2 16 3 17 4 17 6 17 8 PART TWO Tools to Manage a Portfolio. .. TWO Tools to Manage a Portfolio of Credit Assets 18 1 CHAPTER 5 Loan Sales and Trading Primary Syndication Market Secondary Loan Market Note 18 3 18 3 19 1 19 2 CHAPTER 6 Credit Derivatives with Gregory Hayt Taxonomy of Credit Derivatives The Credit Derivatives Market Using Credit Derivatives to Manage a Portfolio of Credit Assets Pricing Credit Derivatives Notes 19 3 19 3 2 01 203 209 224 CHAPTER 7 Securitization... 50% 10 0% 10 0% 15 0% 10 0% 20% 50% 50% 10 0% 10 0% 15 0% 50% 20% 50% 10 0% 10 0% 10 0% 15 0% 10 0% 19 The Revolution in Credit Capital Is the Key EXHIBIT 1. 11 Comparison of Foundation and Advanced IRB Approaches Foundation Determinants of Risk Weights Probability of default (PD) Bank determines Loss in the event of default Supervisor (LGD) determines Exposure at default (EAD) Supervisor determines Maturity (M) Credit. ..Contents CHAPTER 1 The Revolution in Credit Capital Is the Key The Credit Function Is Changing Capital Is the Key Economic Capital Regulatory Capital APPENDIX TO CHAPTER 1: A Credit Portfolio Model Inside the IRB Risk Weights Note 1 1 6 8 11 21 23 PART ONE The Credit Portfolio Management Process 25 CHAPTER 2 Modern Portfolio Theory and Elements of the Portfolio Modeling Process 27 Modern Portfolio Theory... Challenges in Applying Modern Portfolio Theory to Portfolios of Credit Assets Elements of the Credit Portfolio Modeling Process Note 27 34 38 40 CHAPTER 3 Data Requirements and Sources for Credit Portfolio Management Probabilities of Default Recovery and Utilization in the Event of Default Correlation of Defaults Notes 41 41 92 10 2 10 7 ix x CONTENTS CHAPTER 4 Credit Portfolio Models 10 9 Structural Models Explicit... time, we have divided it into three parts #1 BRW (PD) = 976.5 × N [1. 118 x G {PD} + 1. 288] #3 × (1 + 0.047 x (1 PD)/PD 0.44) #2 Part 1 The January 20 01 Consultative Document describes this as the expected and unexpected losses obtained using a credit portfolio model to evaluate a hypothetical, infinitely granular portfolio of one-year loans There is a credit portfolio model embedded in the IRB risk weights... Lα = N  +  1 ρ  ρG[α ]   1 ρ   BRW is based on 99.5% coverage of losses (i.e., α = 0.995) and asset correlation (ρ) of 0.2 among all obligors 1 1− ρ ρG[α ] 1 ρ = = 1 1 − 0.2 = 1. 118 0.2G[0.995] 1 − 0.2 = 1. 288 So L0.995 = N [1. 118 × G{PD} + 1. 288] ... OF CREDIT PORTFOLIO MANAGEMENT PRACTICES In March 2002, Rutter Associates, in cooperation with the International Association of Credit Portfolio Managers (IACPM), the International Swaps and Derivatives Association (ISDA), and the Risk Management Association (RMA), surveyed the state of credit portfolio management practices We distributed questionnaires to the credit portfolio management area of 71. .. investor /portfolio manager questionnaire to a specific individual in the loan portfolio area The following table summarizes the responses Firms Receiving at Least One Questionnaire Originators U.S Europe Total Investors/Loan Portfolio Managers U.S Europe Banks Hedge Funds & Prime Rate Funds Insurance Companies Total Firms from Which at Least One Questionnaire Was Received 13 22 4 10 35 14 24 15 11 9 8 11 18 ... approach as their answers to the questions about marking to market (model) about the credit portfolio management group implied In Exhibit 1. 1, we note that, in a portfoliobased approach, the economics of the loans would be owned by the credit portfolio management group or by a partnership between the credit portfolio management group and the business units The 2000 Survey indicates not only that the . 13 3 Actuarial Models 14 1 Analytical Comparison of the Credit Portfolio Models 14 8 Empirical Comparison of the Credit Portfolio Models 15 3 What Models Are Financial Institutions Using? 16 1 Notes 16 1 APPENDIX. 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 Funds & Prime Rate Funds 18 4 Insurance Companies 8 1 Total 39 17 ■ Thirty-three. of Credit Assets 18 1 CHAPTER 5 Loan Sales and Trading 18 3 Primary Syndication Market 18 3 Secondary Loan Market 19 1 Note 19 2 CHAPTER 6 Credit Derivatives with Gregory Hayt 19 3 Taxonomy of Credit