风险管理与金融机构课件Ch15.ppt

风险管理与金融机构课件Ch15.ppt

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RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditRiskLossesandCreditVaR,Chapter15,1,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditRiskinDerivativesTransactions（page278）,ThreecasesContractalwaysanassetContractalwaysaliabilityContractcanbeanassetoraliability,2,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,GeneralResult,AssumethatdefaultprobabilityisindependentofthevalueofthederivativeDefinet1,t2,tn:

timeswhendefaultcanoccurqi:

defaultprobabilityattimeti.fi:

ThevalueofthecontractattimetiR:

Recoveryrate,3,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,GeneralResultcontinued,Theexpectedlossfromdefaultsattimetiisqi（1-R）Emax（fi,0）.Definingui=qi（1-R）andviasthevalueofaderivativethatprovidesapayoffofmax（fi,0）attimeti,thePVofthecostofdefaultsis,4,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,Applications,Ifcontractisalwaysanassetsothatfi0thenvi=f0andthecostofdefaultsisf0timesthetotaldefaultprobability,times1RIfcontractisalwaysaliabilitythenvi=0andthecostofdefaultsiszeroInothercaseswemustvaluethederivativemax（fi,0）foreachvalueofi,5,UsingBondYieldsforInstrumentsintheFirstCategory,Allinstrumentsthatpromisea（non-negative）payoffattimeTshouldbereducedinpricebythesameamountfordefaultriskwheref0andf0*aretheno-defaultandactualvaluesoftheinstrument;B0andB0*aretheno-defaultandactualvaluesofazero-couponbondmaturingattimeT;yandy*aretheyieldsonthesezerocouponbonds,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,6,Example15.1,A2-yearoptionhasaBlack-Scholesvalueof$3Assumea2yearzerocouponbondissuedbythecompanyhasayieldof1.5%greaterthantheriskfreerateValueofoptionis3e-0.0152=2.91,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,7,Example15.2,Abankentersintoa2-yearforwardcontracttobuy1millionouncesofgoldfor$800perouncevi=exp（-riti）Emax（Fi-800,0）whereFiistheforwardpriceattimetiandriistheriskfreerateforamaturityoftiThiscanbecalculatedusingstandardoptionpricingtheory,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,8,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,ExpectedExposureonPairofOffsettingInterestRateSwapsandaPairofOffsettingCurrencySwaps（Figure15.2,page317-8）,Exposure,Maturity,Currencyswaps,InterestRateSwaps,9,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,InterestRatevsCurrencySwaps,TheuisarethesameforbothThevisforaninterestrateswapareonaveragemuchlessthanthevisforacurrencyswapTheexpectedcostofdefaultsonacurrencyswapisthereforegreater.,10,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,Two-SidedDefaultRisk（page318）,Intheoryacompanyshouldincreasethevalueofadealtoallowforthechancethatitwillitselfdefaultaswellasreducingthevalueofthedealtoallowforthechancethatthecounterpartywilldefault,11,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditRiskMitigation（page319-21）,NettingCollateralizationDowngradetriggers,12,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,Netting,WereplacefibyinthedefinitionofvitocalculatetheexpectedcostofdefaultsbyacounterpartywherejcountsthecontractsoutstandingwiththecounterpartyTheincrementaleffectofanewdealontheexposuretoacounterpartycanbenegativeBankssometimesrunlargeMonteCarlosimulationsovertheweekendandstorethevalueofeachcounterpartysportfolioforeachtrialatfuturetimesTocalculatetheincrementaleffectofanewtransactiononexpectedexposureitisthenonlynecessarytosimulatethattransaction,13,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,Collateralization,Contractsaremarkedtomarketsperiodically（e.g.everyday）IftotalvalueofcontractsPartyAhaswithpartyBisaboveaspecifiedthresholdlevelitcanaskPartyBtopostcollateralequaltotheexcessofthevalueoverthethresholdlevelAfterthatcollateralcanbewithdrawnormustbeincreasedbyPartyBdependingonwhethervalueofcontractstoPartyAdecreasesorincreases,14,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,DowngradeTriggers,AdowngradetriggerisaclausestatingthatacontractcanbeclosedoutbyPartyAwhenthecreditratingoftheotherside,PartyB,fallsbelowacertainlevelInpracticePartyAwillonlycloseoutcontractsthathaveanegativevaluetoPartyBWhentherearealargenumberofdowngradetriggerstheyarecounterproductive（SeeBusinessSnapshot15.1）,15,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditVaR（page321）,CanbedefinedanalogouslytoMarketRiskVaRAoneyearcreditVaRwitha99.9%confidenceisthelosslevelthatweare99.9%confidentwillnotbeexceededoveroneyear,16,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,VasiceksModel（Section15.4,page323）,Foralargeportfolioofloans,eachofwhichhasaprobabilityofQ（T）ofdefaultingbytimeTthedefaultratethatwillnotbeexceededattheX%confidencelevelisWhereristheGaussiancopulacorrelation,17,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditRiskPlus（Section15.5,page324）,ThiscalculatesalossprobabilitydistributionusingaMonteCarlosimulationwherethestepsare:

SampleoveralldefaultrateSamplenumberofdefaultsforportfoliounderconsiderationSamplesizeoflossforeachdefault,18,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,CreditMetrics（Section15.6,page325）,CalculatescreditVaRbyconsideringpossibleratingtransitionsAGaussiancopulamodelisusedtodefinethecorrelationbetweentheratingstransitionsofdifferentcompanies,19,RatingTransitionMatrix（%probability,Moodys1970-2007）,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,20,TheCopulaModel:

xAandxBaresampledfromcorrelatedstandardnormals,RiskManagementandFinancialInstitutions2e,Chapter15,CopyrightJohnC.Hull2009,21,