HullRMFI2ndEdCh11金融风险管理.ppt

Key Model (Gaussian Copula) The 99.9% worst case default rate is Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 * Numerical Results for WCDRTable 11.4, page 236 Risk Management and Financial Institutions 2e, Chapter 11, Copyright ? John C. Hull 2009 PD=0.1% PD=0.5% PD=1% PD=1.5% PD=2% r=0.0 0.1% 0.5% 1.0% 1.5% 2.0% r=0.2 2.8% 9.1% 14.6% 18.9% 22.6% r=0.4 7.1% 21.1% 31.6% 39.0% 44.9% r=0.6 13.5% 38.7% 54.2% 63.8% 70.5% r=0.8 23.3% 66.3% 83.6% 90.8% 94.4% * Dependence of r on PD For corporate, sovereign and bank exp