金融工具创新跟风险管理培训.pptVIP

金融工程/资产证券化 反向房屋贷款 人寿保险债券 (life insurance bond/mortality curve) CDO CDO^2 金融工程/资产证券化 RE-REMIC （评级无风险套利/释放经济资本） 1、评级由亏损概率决定，而非亏损数量； 2、3 bond, each has high probability of loss(loss amount $1), all junk, risk weight 100%, risky asset (100%*300=300); if repackaged and rearrange its cash flow priority, 200 may become AAA(risk weight 20%), and $100 junk(risk weight 100%), weighted average risky asset(200*20% + 100*100% = 140); 释放更多Economic Capital。 金融工程/资产证券化 核心驱动因素: 1, 融资成本; 2, 评级驱动. Although the term of a repo is typically a day or so, they can be rolled over to extend the fi