风险管理与金融机构课件Ch14.ppt
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风险管理与金融机构课件Ch14.ppt
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RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditRisk:
EstimatingDefaultProbabilitiesChapter141RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditRatings(page289-90)lIntheS&P/Fitchratingsystem,AAAisthebestrating.AfterthatcomesAA,A,BBB,BB,B,andCCClThecorrespondingMoodysratingsareAaa,Aa,A,Baa,Ba,B,andCaalBondswithratingsofBBB(orBaa)andaboveareconsideredtobe“investmentgrade”lMostbankshavetheirowninternalratingssystemsforborrowers2RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009AltmansZ-score(Manufacturingcompanies)page291lX1=WorkingCapital/TotalAssetslX2=RetainedEarnings/TotalAssetslX3=EBIT/TotalAssetslX4=MarketValueofEquity/BookValueofLiabilitieslX5=Sales/TotalAssetsZ=1.2X1+1.4X2+3.3X3+0.6X4+0.99X5IftheZ3.0defaultisunlikely;if2.7Z3.0weshouldbeonalert.If1.8Z2.7thereisamoderatechanceofdefault;ifZ1.8thereisahighchanceofdefault3RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009EstimatingDefaultProbabilitieslAlternatives:
lUsehistoricaldatalUsebondpricesorassetswapslUseCDSspreadslUseMertonsmodel4RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009HistoricalDataHistoricaldataprovidedbyratingagenciescanbeusedtoestimatetheprobabilityofdefault5RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CumulativeAverageDefaultRates%(1970-2007,Moodys)Table14.1,page2926RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009InterpretationlThetableshowstheprobabilityofdefaultforcompaniesstartingwithaparticularcreditratinglAcompanywithaninitialcreditratingofBaahasaprobabilityof0.170%ofdefaultingbytheendofthefirstyear,0.478%bytheendofthesecondyear,andsoon7RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009DoDefaultProbabilitiesIncreasewithTime?
lForacompanythatstartswithagoodcreditratingdefaultprobabilitiestendtoincreasewithtimelForacompanythatstartswithapoorcreditratingdefaultprobabilitiestendtodecreasewithtime8RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009DefaultIntensityvsUnconditionalDefaultProbabilitylThedefaultintensityorhazardrateistheprobabilityofdefaultconditionalonnoearlierdefaultlTheunconditionaldefaultprobabilityistheprobabilityofdefaultasseenattimezerolWhatarethedefaultintensitiesandunconditionaldefaultprobabilitiesfromtheMoodystableforaCaaratecompanyinthethirdyear?
9RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009RecoveryRateTherecoveryrateforabondisusuallydefinedasthepriceofthebondimmediatelyafterdefaultasapercentofitsfacevalue10RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009RecoveryRates;Moodys:
1982to2007(Table14.2,page293)11RecoveryRatesDependonDefaultRateslMoodysbestfitestimateforthe1982to2007periodisAveRecoveryRate=59.333.06SpecGradeDefaultRatelR2ofregressionisabout0.5R2ofregressionwasabout0.5.RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull200912RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CreditDefaultSwaps(page294)lBuyeroftheinstrumentacquiresprotectionfromtheselleragainstadefaultbyaparticularcompanyorcountry(thereferenceentity)lExample:
Buyerpaysapremiumof90bpsperyearfor$100millionof5-yearprotectionagainstcompanyXlPremiumisknownasthecreditdefaultspread.ItispaidforlifeofcontractoruntildefaultlIfthereisadefault,thebuyerhastherighttosellbondswithafacevalueof$100millionissuedbycompanyXfor$100million(Severalbondsmaybedeliverable)13RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009CDSStructure(Figure14.1,page294)DefaultProtectionBuyer,ADefaultProtectionSeller,B90bpsperyearPayoffifthereisadefaultbyreferenceentity=100(1-R)Recoveryrate,R,istheratioofthevalueofthebondissuedbyreferenceentityimmediatelyafterdefaulttothefacevalueofthebond14RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009OtherDetailslPaymentsareusuallymadequarterlyinarrearslIntheeventofdefaultthereisafinalaccrualpaymentbythebuyerlSettlementcanbespecifiedasdeliveryofthebondsorincash(severalbondsareusuallydeliverable)lSupposepaymentsaremadequarterlyintheexamplejustconsidered.Whatarethecashflowsifthereisadefaultafter3yearsand1monthandrecoveryrateis40%?
15RiskManagementandFinancialInstitutions2e,Chapter14,CopyrightJohnC.Hull2009AttractionsoftheCDSMarke
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