信用风险必读之二：CSFP(瑞信)的CreditRisk+电子文档 [推广有奖]

  

目录如下，共72页
Contents
1.      Introduction to CREDITRISK+3
1.1    Developments in Credit Risk Management 3
1.2    Components of CREDITRISK+3
1.3    The CREDITRISK+ Model 4
1.4    Economic Capital 4
1.5    Applications of CREDITRISK+5
1.6    Example Spreadsheet Implementation 5

2.      Modelling Credit Risk6
2.1    Risk Modelling Concepts 6
2.2    Types of Credit Risk 7
2.3    Default Rate Behaviour 8
2.4    Modelling Approach 9
2.5    Time Horizon for Credit Risk Modelling 10
2.6    Data Inputs to Credit Risk Modelling 11
2.7    Correlation and Incorporating the Effects of Background Factors 14
2.8    Measuring Concentration 16

3.    The CREDITRISK+ Model17
3.1    Stages in the Modelling Process 17
3.2    Frequency of Default Events 17
3.3    Moving from Default Events to Default Losses 18
3.4    Concentration Risk and Sector Analysis 20
3.5    Multi-Year Losses for a Hold-to-Maturity Time Horizon 21
3.6    Summary of the CREDITRISK+ Model 22

4.    Economic Capital for Credit Risk23
4.1    Introduction to Economic Capital 23
4.2    Economic Capital for Credit Risk 23
4.3    Scenario Analysis 24

5.    Applications of CREDITRISK+26
5.1    Introduction 26
5.2    Provisioning for Credit Risk 26
5.3    Risk-Based Credit Limits 29
5.4    Portfolio Management 29

Appendices
A.    The CREDITRISK+ Model32
A1    Overview of this Appendix 32
A2    Default Events with Fixed Default Rates 33
A3    Default Losses with Fixed Default Rates 35
A4    Loss Distribution with Fixed Default Rates 38
A5    Application to Multi-Year Losses 39
A6    Default Rate Uncertainty 41
A7    Sector Analysis 41
A8    Default Events with Variable Default Rates 44
A9    Default Losses with Variable Default Rates 46
A10  Loss Distribution with Variable Default Rates 47
A11  Convergence of Variable Default Rate Case to Fixed Default Rate Case 49
A12  General Sector Analysis 50
A13  Risk Contributions and Pairwise Correlation 52
B.    Illustrative Example58
B1    Example Spreadsheet-Based Implementation 58
B2    Example Portfolio and Static Data 58
B3    Example Use of the Spreadsheet Implementation 60
C.    Contacts66
D.    Selected Bibliography68

List of Tables
Table 1:      Representations of the default rate process 9
Table 2:      One-year default rates (%) 12
Table 3:      Default rate standard deviations (%) 13
Table 4:      Recovery rates by seniority and security (%) 14
Table 5:      Mechanisms for controlling the risk of credit default losses 25
Table 6:      Provisioning for different business lines 28
Table 7:      Example of credit risk provisioning 28
Table 8:      Example portfolio 59
Table 9:      Example mapping table of default rate information 59
Table 10:    Example 1A - Risk contributions 64
Table 11:    Example 1B - Risk analysis of removed obligors 65
Table 12:    Example 1B - Portfolio movement analysis 65

List of Figures
Figure 1:    Components of CREDITRISK+3
Figure 2:    Default rate as a continuous random variable 8
Figure 3:    Default rate as a discrete random variable 9
Figure 4:    Rated corporate defaults by number of issuers 12
Figure 5:    Defaulted bank loan price distribution 13
Figure 6:    CREDITRISK+ Model - Distribution of default events 18
Figure 7:    CREDITRISK+ Model - Distribution of default losses 19
Figure 8:    Impact of sectors on the loss distribution 21
Figure 9:    Economic capital for credit risk 24
Figure 10:  Parts of the credit default loss distribution 25
Figure 11:  Credit risk provisioning 27
Figure 12:  Using risk contributions 31
Figure 13:  Flowchart description of Appendix A 33