金融风险课件资料.ppt

3.3 Mortality Rate Derivation of Credit Risk Deriving the default rate from the historic or past default risk experience, the mortality rates, of bonds and loans of a similar quality(in the same grade) Similar to the process employed by insurance companies to price policies. The probability of default is estimated from past data on defaults. Marginal mortality rate (MMR): The probability of a bond or a loan dying (defaulting) in any given year after issuance Total value of B bonds defaulting in year 1 of issue Total value of B bonds outstanding in year 1 of issue Total value of B bonds defaulting in year 2 of issue Total value of B bonds outstanding in year 2 of issue (adjusted for defaults, calls, sinking fund redemptions and maturities in the prior year) MMR1= MMR2= 第六十页，共八十六页。 MMR table:P288: 933 rated corporate bonds over the 1971-2000 period It can be observed that the lower the rating of the bond, the higher that mortality rates. MMR curve and its shape Problems: (1)Based on historic data, Historic, backward-looking (2)The estimates of default rates are sensitive to the period of observation, the number of issues and the relative size of issues in each investment grade 第六十一页，共八十六页。 Classes of credit rating Issuer credit ratings(obligor rating): the rating is an opinion on the obligor’s overall capacity to meet its financial obligations. Including counterparty ratings, corporate credit ratings, and sovereign credit ratings Issue-specific credit ratings(facility rating): an opinion specific to a particular liability of the company. Long-term credits vs. Short-term credits In rating a specific issue the attributes of the issuer, as well as the specific terms of the issue, the quality of the collateral, and the creditworthiness of the guarantors, are taken into account. 第二十八页，共八十六页。 Power of rating Credit ratings, espe