风险管理（杨一民）(1).pptVIP

介绍 PNC It used to be a bank, but now (曾经叫做银行,但现在是…) 介绍Risk Analytics Now, back to our topics 两个热门话题 Two Current Hot Topics The Game(新游戏) Credit Risk, more specifically (信用风险) Credit Derivatives (信用衍生品) The Game Field (新环境) New Regulatory Environment, more specifically (新监管要求) Basel II (巴塞尔协议) Credit Risk Credit Derivatives What is Credit Derivative什么是信用衍生品 What is Credit Risk (什么是信用风险) The risk that a company is unable/unwilling to make promised payment (不能按时支付) What are Credit Derivatives (什么是信用衍生品) Financial products that price transfer credit risk (用于转移信用风险的金融产品) Credit Default Swap (CDS), Asset Swap Cash Flow Collateral Debt Obligation (CDO), Synthetic CDO Nth-to-default baskets, Single Tranche CDO, CDO Option Standardized Index Tranches, CDO Squared Example: Credit Default Swap (CDS) 例一 Most of Credit Derivatives are CDS (70%) (市场主要产品) It is similar to buy/sell insurance for default(类似破产保险) Example: (Collateralized Debt Obligation( CDO)例二 CDO is Today’s market favorite(市场宠儿) A portfolio is tranched to absorb losses. Investors can invest in different tranches Example: CDX.HY例三 Popular Dow Jones CDX.HY (Dow Jones 推出的CDS指数之一) 100 liquid BB/B-rated CDS ENTITIES, equally weighted. (一百家高风险公司组成) Reset every 6 months 5 year is the most common maturity Over 20 industries Standardized 6 Loss Tranches (六个标准断) 0-3% Equity, 3%-7%, 7%-10%, 10%-15%, 15%-30%, 30%-100% Investors buy trade these tranches, just like buying stocks or any other financial products (象一般投资一样买卖) HY stands for High-Yield (there is also CDX.IG for Investment Grade with 125 names) (Dow Jones还有其他指数) Example: CDX.HY例三 Global Market(全球市场) Major Players(主要运动队) Key Drivers(主要原因) Hedge Portfolio Risk(风险抵消) Take Exposure in Credit Risk (投资信用风险) Enhance Profitability (增加回报) Improve Risk Management Reduce Regulatory Capital (风险与资本管理) Increase Asset Liability Management Capability (资产管理) Credit is now a TRADABLE asset (已成交易资产) Challenges To Financial Practitioners (主要的挑战) Understanding of