Dynamic Models of Portfolio Credit Risk A Simplified Approach.pptVIP

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Dynamic Models of Portfolio Credit Risk A Simplified Approach.ppt

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Dynamic Models of Portfolio Credit Risk A Simplified Approach.ppt

Copyright ? John Hull 2008 * Dynamic Models of Portfolio Credit Risk: A Simplified Approach John Hull Princeton Credit Conference May 2008 7th Edition Out! Copyright ? John Hull 2008 * Copyright ? John Hull 2008 * January 30, 2007 Data Table 1 iTraxx CDO tranche quotes January 30, 2007. aL aH 3 yr 5 yr 7 yr 10 yr 0 0.03 n/a 10.25% 24.25% 39.30% 0.03 0.06 n/a 42.00 106.00 316.00 0.06 0.09 n/a 12.00 31.50 82.00 0.09 0.12 n/a 5.50 14.50 38.25 0.12 0.22 n/a 2.00 5.00 13.75 Index 15.00 23.00 31.00 42.00 CDX IG CDO tranche quotes January 30, 2007. aL aH 3 yr 5 yr 7 yr 10 yr 0 0.03 n/a 19.63% 38.28% 50.53% 0.03 0.07 n/a 63.00 172.25 427.00 0.07 0.10 n/a 12.00 33.75 96.00 0.10 0.15 n/a 4.50 14.50 43.25 0.15 0.30 n/a 2.00 6.00 13.75 Index 19.00 31.00 43.00 56.00 Copyright ? John Hull 2008 * CDO Models Standard market model is one-factor Gaussian copula model of time to default Alternatives that have been proposed: t-, double-t, Clayton, Archimedian, Marshall Olkin, implied copula All are static models. They provide a probability distribution for the loss over the life of the model, but do not describe how the loss evolves Dynamic models are needed to value options and structured deals such as leveraged super seniors Copyright ? John Hull 2008 * Dynamic Models for Portfolio Losses: Prior Research Structural: Albanese et al; Baxter (2006); Hull et al (2005) Reduced Form: Duffie and Garleanu (2001), Chapovsky et al (2006), Graziano and Rogers (2005), Hurd and Kuznetsov (2005), and Joshi and Stacey (2006) Top Down: Sidenius et al (2004), Bennani (2005), Schonbucher (2005), Errais, Giesecke, and Goldberg (2006), Longstaff and Rajan (2006), Putyatin et al (2005), and Walker (2007) Copyright ? John Hull 2008 * Our Objective Build a simple dynamic model of the evolution of losses that is easy to implement and easy to calibrate to market data The model is developed as a reduced form model, but can also be presented as a top down model Copyright ? John Hull 2008 * Spec