20081017 paper report.pptVIP

20081017 paper report R96072 黃源鱗 20.6 Using Equity Prices to Estimate Default Probabilities(使用股票價格計算違約機率) More up-to-date The value of the equity at time T as ET = max(VT-D,0) This show that the equity is a call option So the Black-Scholes formula gives the value of the equity today as E0=V0N(d1) - De-rTN(d2) ---- (20.3) where d1= ln(V0/D)+(r+σv2/2)T σv√T d2= d1 - σv√T The risk-neutral default probability is N(-d2) (seems N (d2) like the live probability (當VTD)) To caculate N(-d2), we need V0 , σ0 but we only know σE 、E0 and equation(20.3) From Ito’s Lemma , we can get σEE0 = N(d1) σVV0 ----(20.4) Ito’s Lema dV / V = uVdt+ σVdZV ---(1) dE / E = uEdt+ σEdZE ---(2) - dE = EvdV+ ? Evv(dV)2 + Etdt - dE = (? EvvσV2V2 + σVVEv + Et)dt + σVVEvdZV ----(3) 由(2)(3)比照係數 - σEE0dZE = σVV0 EvdZV = σVV0 N(d1) dZV ? σEE0 = N(d1) σVV0 (設dZE = dZV ) We can get V0 , σ0 by equations (20.3) and (20.4) * * To solve F(x,y)=0 and G(x,y)=0. we can use the Solver routine in Excel to find the values of x and y that minimize [F(x,y)]2 + [G(x,y)]2 * see also the keyword “ Merton’s Model” 20.7 Credit Risk in Derivatives Transactions (衍生性金融商品交易的信用風險) Because the claim that will be made in the event of a default is more uncertain We can distinguish three situations: 1. Contract is a liability (負債) 2. Contract is an asset 3. Contract can become either an asset or a liability Example 1. a short option position 2. a long option position 3. a forward contract Adjusting Derivatives’ Valuations for Counterparty Default Risk The expected loss at ti: qi(1-R)E[max(fi,0)] - Σuivi ---(20.5) fi:the value of the derivative to the financial institution qi:the risk-neutral default probability R:recovery rate ui :qi(1-R) vi :the value today of the instrument In case 1. fi is always negative , so the expected loss is zero In case 2. the max(fi ,0) if always fi . vi is the present value of fi, it always equ