期权期货及衍生品教材Ch23-信用风险Credit-Risk(Hull).pdfVIP

Chapter 23 Credit Risk Options, Futures, and Other Derivatives, 8th Edition, 1 Credit Ratings In the SP rating system, AAA is the best rating. After that comes AA, A, BBB, BB, B, CCC, CC, and C The corresponding Moody’s ratings are Aaa, Aa, A, Baa, Ba, B,Caa, Ca, and C Bonds with ratings of BBB (or Baa) and above are considered to be “investment grade” Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012 2 Historical Data Historical data provided by rating agencies are also used to estimate the probability of default Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012 3 Cumulative Ave Default Rates (%) (1970-2009, Moody’s, Table 23.1, page 522) 1 2 3 4 5 7 10 Aaa 0.000 0.012 0.012 0.037 0.105 0.245 0.497 Aa 0.022 0.059 0.091 0.159 0.234 0.384 0.542 A 0.051 0.165 0.341 0.520 0.717 1.179 2.046 Baa 0.176 0.494 0.912 1.404 1.926 2.996 4.851 Ba 1.166 3.186 5.583 8.123 10.397 14.318 19.964 B 4.546 10.426 16.188 21.256 25.895 34.473 44.377 Caa-C 17.723 29.384 38.682 46.094 52.286 59.771 71.376 Options, Futures, and Other Derivatives, 8th Edition, Copyright © John C. Hull 2012 4 Interpretation The table shows the probability of default for companies starting with a particular credit rating A company with an initial credit rating of Baa has a probability of 0.176% of defaul