财务分析与证券定价(英文)chapter21.pptVIP

Chapter 21 The Analysis of Credit Risk Links What you will learn from this chapter How default risk determines the price of credit (the cost of debt capital) What determines default risk How default risk is analyzed How credit scoring models work How pro forma analysis aids in assessing the default risk How value-at-risk analysis is used to asses default risk How financial planning works Default Risk and Default Premiums The Suppliers of Credit Off-Balance-Sheet Financing Reformulated Income Statements and Cash Flow Statements Ratio Analysis for Default Evaluation Reformulating the Balance Sheet Ratio Analysis: Short-Term Liquidity Ratios Ratio Analysis: Long-term Solvency Ratios Solvency Stock Measures Solvency Flow Measures Ratio Analysis: Operating Ratios Forecasting and Credit Risk Forecasting Default with Credit Scoring Multiple Discriminate Analysis (Z-scoring) Logit Scoring Model Credit Scoring: Prediction Error Analysis Full Information Forecasting: Using Pro Forma Analysis for Default Forecasting PPE, Inc. Using Pro Forma Analysis for Default Forecasting Default Points Default occurs when cash available for debt service is less than the debt service requirement. Value-at-Risk Profiles for Default Forecasting Steps: Generate profiles of cash available for debt service for a full set of scenarios from pro forma analysis Establish the debt service requirement Identify the default point where cash available for debt service is below the debt service requirement, and so identify the default scenarios Assess the probability of the set of default scenarios occurring Value-at-Risk Profile Liquidity Planning and Financial Strategy The Analyst’s Checklist * Required Return on Debt = Risk-free Rate + Default Premium The default premium is determined by the risk that the debtor could default Similar terms: Required return on debt Cost of debt Price of credit Public debt market investors who include (long-term) bondholders and (short