违约曝险额.pptVIP

Logistic (or Probit) Model 歷史資料是否擁有？資料品質是否完好？ 是否考慮會計比率、公司(個人)特有變數、總體經濟變數？ 如何篩選自變數？ 模型預測的有效性如何量測。 信用結構模型（Structure Credit Models） (or Option Models) Employ option pricing methods to evaluate the option to default. Used by many of the largest banks to monitor credit risk. KMV Corporation markets this model quite widely. Option Models A D 0 E Value of Call and Put 舉債經營就如同公司股東持有一買權 (C) 對貸款人 (如銀行) 而言，對某公司的一筆放款就如同賣出一筆賣權 (P) Probability of default 假定公司的資產為隨機變數，並且隨時間 (從t=0到t=T) 而呈標準幾何布朗運動，於到期時其機率分配呈對數常態分配 當A = DT時公司發生違約，則 Assumption of Merton Constant riskless rate r Stochastic interest rates Asset-value process contain jumps Applying Option Valuation Model Merton showed value of a risky loan F(t) = Be-it[(1/d)N(h1) +N(h2)] Written as a yield spread k(t) - i = (-1/t)ln[N(h2) +(1/d)N(h1)] where k(t) = Required yield on risky debt ln = Natural logarithm i = Risk-free rate on debt of equivalent maturity. KMV Credit Monitor Bond Pricing Approach or Reduce model If we know the risk premium we can infer the probability of default. Expected return equals risk free rate after accounting for probability of default. p (1+ k) = 1+ i May be generalized to loans with any maturity or to adjust for varying default recovery rates. The loan can be assessed using the inferred probabilities from comparable quality bonds. Example of Term Structure Based Methods 假定政府一年期零息公債利率為i = 5%，某BBB等級公司債的零息債券利率為k = 5.25%，且p為公司債到期償還本金及利息的機率，則發生違約的機率 如果利率為連續複利形式 假定違約後回收率為rr 風險中立假設 連續複利 兩期以上舉例 危險率 (Hazard rates) P(t)=違約機率 (default rate) P’(t)=邊際的違約機率 (marginal default rate) *CreditMetrics “If next year is a bad year, how much will I lose on my loans and loan portfolio?” VAR = P × 1.65 × s Neither P(position), nor s observed. Calculated using: (i)Data on borrower’s credit rating; (ii) Rating transition matrix; (iii) Recovery rates on defaulted loans; (iv) Yield spreads. Migration matrix Rating at start of year 　 　 AAA AA A BBB BB B CCC Default 　 AAA 9366 66 7 3 3 0 16 0