斯文 Credit Risk.pdf

1 2Copyright 2009 By GFEDU 2. Measuring Actuarial Default Risk 1. Overview of Credit Risk Default Credit Event External Credit Rating Internal Credit Rating Assessing Default Probabilities Recovery Rate Corporate VS Sovereign Rating 3. Measuring Default Risk from Market Prices Corporate Bond Prices Equity Prices (Merton Model) KMV Model Definition of Credit Risk Drivers of Credit Risk (PD,LGD,EAD) Credit VAR Credit Risk Diversification Credit Risk VS Market Risk Settlement Risk 3Copyright 2009 By GFEDU 4. Credit Exposure Credit Exposure by Instrument Distribution of Credit Exposure Exposure Modifiers 5. Credit Derivatives Credit Default Swaps Total Rate of Return Swaps Credit Spread Forward and Option Pricing and Hedging Credit Derivatives Credit-Linked Notes Collateralized Debt Obligation Securitization of Subprime Mortgage Credit 6. Managing Credit Risk Measuring Distribution of Credit Losses Measuring Expected Credit Loss Unexpected Loss Portfolio Credit Risk Models 4Copyright 2009 By GFEDU Section One Introduction to Credit Risk 5 Copyright2009 By GFEDU 1.1 Overview of Credit Risk Credit riskis the risk of an economic loss from the failure of a counterparty to fulfill its contractual obligations. Credit riskrequires constructing the distribution of default probabilities (PD“”), of loss given default (LGD “”), and of exposures at default (EAD“”), all of which contribute to credit losses and should be measured in a portfolio context. Note: For large bank, credit risk operation risk market risk 6 Copyright2009 By GFEDU 1.2 Drivers of Credit Risk Default, which is a discrete state for the counterparty—either the counterparty is in default or not. This occurs with some probability of default(PD). Credit exposure (CE), which is the economic or market value of the claim on the counterparty, It is also called exposure at default (EAD) at the time of default. Credit exposure is defined as the positive value of the asset: Loss