西南财经大学期权期货及其他衍生品第13章.pptxVIP

Chapter 13 Credit RiskWhat is credit risk?Credit risk arises from the possibility that borrowers and counterparties in derivatives transactions may default.ContentsApproaches to estimating the probability that a company will defaultThe difference between risk-neutral and real-world probabilities of defaultCredit risk of derivativeDefault correlation, Gaussian copula modelsApproaches to estimating default probabilitiesHistorical default probabilities of rating companiesFrom bonds pricesFrom equity pricesFrom derivatives pricesHistorical cumulative average default rates (%)InterpretationThe tabl