XXXX0801FRM二级信用风险测量与管理(1)_孙大利.pdf

CreditRiskOutline

¾CreditRisk
¾OverviewofCreditRisk
金程教育FRM信用风险讲义
¾DefaultRisk(Actuarialmethod,MarketPrice)
CreditRiskManagement¾CreditExposure
¾RecoveryRate
讲师：孙大利¾CreditDerivativesandStructuredProducts
日期：2010年8月¾ManagingCreditRisk
地点：■上海□北京□深圳

1
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Overview

Definition
¾theriskofaneconomiclossfromthefailureofa
counterpartytofulfillitscontractualobligations
Overviewofcreditrisk

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OverviewOverview

DriversofCreditRiskCreditriskversusMarketrisk

„MeasurementsystemItemMarketRiskCreditRisk
„Toquantifytheriskoflossesduetocounterpartydefault
„Notionalamounts
SourceofriskMarketriskonlyDefaultriskRecoveryriskMarketrisk
„Risk-weightedamounts
„External/internalcreditrating
„InternalportfoliocreditmodelsDistributionsSymmetricFattailsSkewedtotheleft
„Threedrivers

„Probabilityofdefault(PD)TimehorizonShortterm(days)Longterm(years)
„Exposureatdefault(EAD)
„Lossgivendefault(LGD)AggregationBusiness/tradingunitWholefirmversuscounterparty
„Creditexposure

„DefinedasthepositivevalueoftheassetLegalissuesNotapplicableVeryimportant
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OverviewOverview
„Creditevent
Creditlosses
„Acrediteventisadiscretestate
ThedistributionoflossesduetocreditriskfromaportfolioofN„Eitherithappensornot
instrumentscanbedescribedas
„DefinitionofISDA
„Bankruptcy
N
Creditloss=××−bCE(1f)
∑iii„Failuretopay
i=1
„Obligation/crossdefault
„Whatisb?
„WhatisCE?„Obligation/crossacceleration
„Whatisf?„Repudiation/moratorium
„Restructuring
„Downgrade
„Currencyinconvertibility
„Governmentalaction
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Questions
Overview
„JointProbability

„BernoulliVariable

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DefaultRates

Creditratings(1)

„Creditratings
„Theratingisan“evaluation
ofcreditworthiness”issued
byaratingagency
Measuringdefaultrisk
„representactuarial
probabilitiesofdefault
„Moody’