Hull经典衍生品教科书第9版官方PPT,第24章.pptx

Chapter 24Credit Risk ;Credit Ratings;Estimating Default Probabilities;Historical Data;Cumulative Ave Default Rates (%) (1970-2012, Moody’s, Table 24.1, page 545);Interpretation;Do Default Probabilities Increase with Time?;Conditional vs Unconditional Default Probabilities (546);Hazard Rate;Recovery Rate;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Using Credit Spreads (Equation 24.2, page 547);Explanation;Matching Bond Prices;The Risk-Free Rate;Real World vs Risk-Neutral Default Probabilities;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Options, Futures, and Other Derivatives, 9th Edition, Copyright ? John C. Hull 2014;Which World Should We Use?;Using Equity Prices: Merton’s Model (555);Equity vs. Assets;Volatilities;Example;The Implementation of Merton’s Model ;CVA;The CVA Calculation;Calculation of qi’s;Calculation of vi’s;Collateral;Incremental CVA;CVA Risk;Wrong Way/Right Way Risk;DVA;DVA continued;Credit Risk Mitigation;Simple Situation;Example 25.5 (page 560);Uncollateralized Long Forward with Counterparty (page 560);Example 24.6 (page 561);Default Correlation;Measurement;Survival Time Correlation;The Gaussian Copula Model;Gaussian Copula Model (continued, 563);Example of Use of Gaussian Copula ( page 563);Use of Gaussian Copula continued;Use of Gaussian Copula continued;A One-Factor Model for the Correlation Structure;Credit VaR (565);Calculation from a Factor-Based Gaussian Copula Model (equation 24.10, page 565);Example (page 565);CreditMetrics (566)