商业银行管理201307.pptxVIP

商业银行管理201307第1页/共53页 信用风险定量分析及控制KMV模型第2页/共53页 主要内容KMV模型及相关历史简介KMV模型基本原理KMV模型的预测效力案例3第3页/共53页 KMV公司简介是美国旧金山市KMV公司（成立于1989年）于1997年建立的用来估计借款企业违约概率的方法 Named after the three company founder, Kealhofer, MeQuow and Vasieek“NEW YORK, April 15, 2002 - Moodys Corporation (NYSE: MCO) today announced that it has completed the acquisition of KMV, the leader in quantitative credit risk management tools, in an all cash transaction for $210 million”. 4第4页/共53页 KMV模型简介KMV model A structural model inspired from Mertons (1974) option pricing theoryEquivalent to an option model that evaluates the implied volatility of the companys assets Relies on Black Scholes valuation model (1973)5第5页/共53页 KMV模型简介KVM模型 - 是一个期权定价模型，是期权理论在信用风险领域中的运用信用关系被解释成一种期权交易银行向借款人发放贷款后， 相当于向借款人开了一份期权期权的实施价是贷款额标的是贷款人的资产这一期权可以被视为买权交易， 也可以被视为卖权交易借款人违约概率是由债务人的资产市场价值决定的 6第6页/共53页 Moody’s KMV ModelMoodys KMV led the way in helping investors, lenders, and corporations understand and adopt the most advanced methods and tools to measure and manage credit riskIn the late 1980s, created the Moodys KMV EDF? (Expected Default Frequency) credit measure, which dramatically changed the way credit risk was measured throughout the worldMore recently, introduced the Moodys KMV RiskCalc? network of globally comparable private company models that similarly revolutionized the way in which middle-market credit is analyzed both by banks and in the structured finance marketsReleased Moodys KMV LossCalc?, the first commercially available predictive model of Loss Given Default (LGD)7第7页/共53页 Moody’s KMV ModelRich data: 30 years of information on over 6,000 public and 220,000 private company default events for a total of 60,000 public and 2.8 million private companies, healthy and distressed, around the worldIn a unique position to create credit risk models of unparalleled breadth and depth for major markets around the globe These models are recognized as the most accurate measures of default risk and feature the most comprehensive geograp