creditrisk_analyzer_method.pptVIP

Creditrisk Analyzer - Method and Parameter Creditrisk Analyzer - Method and Parameter Creditrisk Analyzer -Method and Parameter Credit risk: MEAG model Credit risk: Input Credit risk: Input II Credit risk: MEAG model Credit risk: Calculation of the return distribution Credit risk: The role of diversification Credit risk: Examples Appendix: Calculation of the return distribution I Appendix: Calculation of the return distribution II Creditrisk Example: Ratingdowngrade from AA to BBB Creditrisk: derivation of the expected bond price Contact * Creditrisk Analyzer - Method and Parameter Creditrisk Analyzer - Method and Parameter Inputs: rating categories i = 1,..., H - 1 and default category H probabilities of migration and default pij, j = 1,..., H recovery rate riH modified duration mdi and convexity ki for each rating category spread si (in percent) per rating category diversity score ni per rating category correlations of the rating categories rij Objective: calculation of credit return distributions depending on maturity structure and diversification calculation of Credit Value at Risk (CVaR) Moody‘s (or other rating agencies): ?gross rating categories“ Aaa, Aa, A ... (H = 8) probabilities of migration and default (pij) recovery rate(s) (current: riH = 53,8%) Insurance Company / Other Users: market values (or weights) MVi per rating category modified duration mdi and convexity ki per rating category (or average maturity per rating category) diversity score per rating category (ni) according to the rule of thumb: MEAG / Model Calibrator: Credit Value at Risk - level p correlations between rating categories (e.g., spread correlations) spreads per rating category (si): e.g., ML-EMU-Indices  current: Moody‘s or others Portfolio Index (ML etc.) Rating Categories Probabilities of migration and default Recovery Rate Spreads s(i) Correlations r(ij) Market Values MV(i) Modified Durations md(i) Convexities k(i) Calcula