毕博上海银行咨询Credit Risk Mgmt Sys Analytics UsersGuide_012100.docVIP

DANIEL H. WAGNER ASSOCIATES INCORPORATED CONSULTANTS OPERATIONS RESEARCH ( MATHEMATICS ( SOFTWARE DEVELOPMENT HQTRS AND PENNSYLVANIA OFFICE HAMPTON OFFICE SUITE 200 SUITE 500 40 LLOYD AVENUE 2 EATON STREET MALVERN, PA 19355 HAMPTON, VA 23669 610 644-3400 757 727-7700 FAX: 610 644-6293 FAX: 757 722-0249 WASHINGTON OFFICE SANTA CLARA OFFICE SUITE 206 SUITE 400 450 MAPLE AVENUE, EAST 4677 OLD IRONSIDES DRIVE VIENNA, VA 22180 SANTA CLARA, CA 95054 703 938-2032 408 987-0600 FAX: 610 255-4781 FAX: 408 987-0606 January 21, 2000 To: Korean Information Service From: Dr. S. Suchower Subject: VaR Model User’s Guide, Release 1.002 This guide describes the use and structure of the Hanvit Bank VaR model. We address the following topics: Overview Command-line interface Input files Output files Error codes Source code roadmap 1. Overview This software uses Monte Carlo simulation to build the portfolio credit VaR distribution. Credit risk is driven by risk rating migrations of the borrowers in the portfolio. The model captures the specific as well as systematic effects in these rating migrations. In particular, borrower-to-borrower correlation in rating migration depends on a set of industry indices . Each is the time series of normalized average equity returns for a specific industry. Each is modeled as a stationary Gaussian time series with steady-state mean zero and steady-state variance one. The matrix of correlations between the for different industries is assumed to have been estimated from historical data on Korean industry equity returns. We assume that one-year rating migrations reflect an underlying, continuous credit-change index that is distributed as a standard normal variate. Let represent the number of non-default rating grades and let be the probability of migrating from grade to . For an initial rating , we represent each rating grade transition as an interval on the real line. Specifically, the partition of the real line into intervals is