Chapter 22Credit Risk资管所陈竑廷.pptVIP

Thank you * Discuss some approaches to estimating the probability that a company will default. Explain the key difference between risk-neutral and real-world probabilities of default. * Historical data provided by rating agencies are also used to estimate the probability of default The table shows the probability of default for companies starting with a particular credit rating A company with an initial credit rating of Baa has a probability of 0.181% of defaulting by the end of the first year, 0.506% by the end of the second year, and so on For a company that starts with a good credit rating default probabilities tend to increase with time For a company that starts with a poor credit rating default probabilities tend to decrease with time The unconditional default probability The default intensity (hazard rate) * 在債務人的違約事件之中，通常債務人所遭受的損失是 『債務人應該償還的金額 實際收回的金額 之間的差額』 回收率是根據債務人的求償順位與其擔保品所計算所得 * * Suppose that a bond yields 200 basis point more than a similar risk-free * * 假設 只會在 x.5 時間違約 假設每年違約機率相同 假設違約只會發生一次??? Ratio is high for “investment grade” Ratio decline as credit rating declines Difference increase as credit rating declines * The excess return tends to increase as credit quality declines. * * Chapter 22Credit Risk 資管所 陳竑廷 Agenda 22.1 Credit Ratings 22.2 Historical Data 22.3 Recovery Rate 22.4 Estimating Default Probabilities from bond price 22.5 Comparison of Default Probability estimates 22.6 Using equity price to estimate Default Probabilities Credit Risk Arise from the probability that borrowers and counterparties in derivatives transactions may default. 22.1 Credit Ratings SP AAA , AA, A, BBB, BB, B, CCC, CC, C Moody Aaa, Aa, A, Baa, Ba, B, Caa, Ca, C Investment grade Bonds with ratings of BBB (or Baa) and above best worst 22.2 Historical Data For a company that starts with a good credit rating default probabilities tend to increase with time For a company that starts with a poor credit rating default probabilities tend to