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1、CreditRiskMeasurementandManagementFRM二级培训讲义-基础班讲师：LindSey峥8相+M嗣5Prof30哂TopicWeightingsinFRMPartIISession NO.Contents%Session1MarketRiskMeasurementandManagement20Session2CreditRiskMeasurementandManagement20Session3OperationalRiskandResiliency201.iquidityandTreasuryRiskMeasurementandSession415Manageme
2、ntSession5RiskManagementandInvestmentManagement15Session6CurrentIssuesinFinancialMarket101 S iIUlu 6pup6U&UB8=BlgaUO-WZ-IPrDBSS 1P-J-PaJU1S&AtBdJIUnoDJo l!04p-工IU UJ 6bup-PaJDA上SAHPd-Iun 00SnsodxLU七PoI-F| QjoAI三 q-sOJd luUJaInS(uS-p DAS-IOlePUI|S2I-PDA 土ISA-BupaoPUPUo-Sp O-P U I-PDJoUo-JnPOEUI AI0N，
3、rnOMlue,lLL三.iI0N4ISA-Bu-p67UO-SPBal-PaJD.1ISA-euCreditRiskThedefaultofacounterpartyonafundamentalfinancialobligation.AnincreasedPrCIbabilityOfdefault.AhigherthanexpectedIoSSSeVerityarisingfromeitheraIoWerthanUXDectedrecoveryorahigherthanexpectedexp。Srreatthetimeofdefault.Thedefaultofacounterpartywi
4、threspecttothepaymentoffundsforgoodsorservicesthathavealreadybeenadvanced(SettIemeCtisk).AFourPrimaryComponentsofCreditRiskEvaluationTheobligor,sCaPaCityandWillingSeSStoRepay.TheexternalConditiOns.TheattributesOfObligationfromwhichcreditriskarises.TheCeditriskmitigants.拽四，IoN，9SIWOJSclllls-BPlIBUyIS
5、BdPUeIU8ISoEsLuoP一P-Bp-B-IUnUJooESopBq6noIIlSUoAB6=qo-BPUBUgs,IJU-O七d2AluUeOAlmqBdBUICT-、AedBX。1三qIS3nbclpol-SA-euv-p,lu=BI*三UenUaMOEOqWlUBdSCUdTOoPJO2g-,pi-o、*SM0t0qSJMdSO-JdroOUo-IBIndPUB一UBJBqU、AEdxOISSU6U=MIsnb.ulpal-SA-EUV=PalUQrassnb三lplESA-BufPaIUA一一。-SP三uCreditDecisionCategoriesOfCreditAnaly
6、sisFormostindividuals,factorssuchasapersonsnetworth,SalaryaSsets,reputation,andcreditscoreareusedasfundamentalcriteria.FornonfinancialfirmsIiuiditcashflowtoetherwithearn1nscaacitandrofitabilitcaitalositionsolvencstateoftheeconomy,andstrengthoftheindustryareused.Forfinancialfirmsbank-specificmeasures
7、suchascapitaladequacy,assetualitandthebanksabilittowithstandfinancialstressmustbeConSidered.领取考前押题微信：xuebajun888sBankInsolvencyvs.BankFailureeInsolventbankscankeepgoingonandonsolongastheyhaveasourceofIiquidity.芸业.创新.增值Exercise1BrentGulick,acreditanalystwithHomeTownBank,isconsideringtheloanapplicatio
8、nofasmall,localcardealership.ThedealershiphasbeensolelyownedbyBobJusticeformorethan20yearsandsellsthreebrandsofAmericanautomobiles.Becauseoftherurallocation,mostofthecarssoldinthepastbythedealershiphavebeenlargepick-uptrucksandsportsutilityvehicles.However,saleshavedeclined,andgasolinepriceshavecont
9、inuedtoincrease.Asaresult,Justiceisconsideringsellingalineofhybridcars.JusticehasborrowedfromHomeTownBankbeforebutcurrentlydoesnothaveabalanceoutstandingwiththebank.WhichofthefollowingstatementsisnotoneofthefourcomponentsofcreditanalysisGulickshouldbeevaluatingwhenperformingthecreditanalysisforthisp
10、otentialloan?拽四SI0N，6QMSUllJeq一q-MAjoJSWIUWABdBdu.8O-6-c-lU-IBUJ-P-UJoUo2pufnc=O-I一duJODluLUUouSSU-Snq一Il.Iux国三三.揖wIoN6U二MSUA.SPUnJ-PI-dsCTraJoIubLUSPISSMO-HqspCJJoIuwsU.1UEsplsUJoUUl.7-sDUB-BS.luq0宕EBUo-s-BUBIubESIBIS-BPUB-j6WUJ。七dA-IU-IrDS-OIlMIS-PUBADU6e6U4BTOS-S-=BlIS-IenuAZ3S2XWCreditAnalystCre
11、ditAnalysis:ToolsandMethodsQuantitativeElements/InvolvestheComPariSonOffinanCiClindicatorsandratios./MoreamenabletoStDtiStiCalteChniqUeCandautomation./NominallyObieCtiVeQualitativeElements/ConCeITlSthoseattributesthataffecttheProbabilityOfdefault,butWhiChCannotbedirectlyeducedtonumbers.Consequently,
12、theevaluationofsuchattributesmustbeprimarilyamatterofjudgment/RelieSheavilyOnanalystsParCePtic)ns,experience,judgment,reasoning,andintuition./Nominallysubjective.CreditAnalystCreditAnalysis:ToolsandMethodsResearchSkillsPrimaryresearchskillsincIudedetailedanalysisofauditedfinancialstatementsforsevera
13、learstoetherwithannualreartsandrecentinterimfinancialstatements.Secondaryresearchskillsinvolveusingtheresearchpublishedbyothers(e.g,ratingagencies).领取考前押题微信：Xuebaju888sSourcesofInformationusedbyCreditAnalystAnnualreports；Interimfinancialstatements；Financialdatasources；12-201Newsservices;Ratingagency
14、reportsandotherthird-partyresearch;ProspectusesandreguIatoryfillings;Notesfromthebankvisitandthirdparties;Auditorsreportorstatement；Auditor,sopinion；Thebankwebsite;NewsJtheIntemet,andsecuritiespricingdata芸业.创新.增值国三.露司IOTgIS-SA-BUB011BJOIlqpuUJWIWnS6,三llul2lWIUEUbBUBWM.-alsszuuBlWOJSd-PPUPU-JS-CTW-B-
15、bSBPM2IBL上UBqBJos-lnqH31lqlJoIS=pLPraUSqUsIIas-lpaDXupq一Bn-BOlUJ一SAS-,LLJ工unsA-3u3-pbuecoEwsASIWIZMqUA-SA-euVHPalu三三.iajntlmls-B,dBDt7S-IOlaPUIAmsIllZUoAeyJ_IUPIlsI-P0Is。IeU-PUl*s三paoam：Zdo!三luJ。UOnUnPOLUI三三.i-po)SSo-,PUdxuPUeSSo-jPUdxuj2OV三C-A(ClD_|二DBJQu?3SSo(CJvUJ)145WajnsodxLIJ(CId)IDB右ClJ。A-_qB
16、q0dQHuoo0A.suol-qo-BntiB=Uo2SI-oidn=IoU=-Mtoul人PB-JlUOUBOs-5eOIx-ws三口-eeQWnoUsw三CJH00-PBMOL1_UBOaunpo-d-racszsus*S2MPaIUAUo=g三ulPI*s三.paoThreeDriverseProbabilityofDefault(PD)Likelihoodthataborrowerwilldefaultwithinaspecifiedtimehorizon.Creditmigrationsordiscretechanges1ncreditquality(suchasthoseduet
17、oratingschanges)arecrucial,sincetheyinfIuencethetermstructureofdefaultprobability.ExposureatDefault(EAD)AmountofmoneyIendercanIoseintheeventofaborrower,sdefault.LossgivenDefault(LGD)TheamountofcreditorIossintheeventfadefault.Fractionofexposurerecoveredatdefaultisrecovery.revery1LGDexposureexposure芸业
18、.创新.增值11、pood61.owriIdHBEp-OHIn6.CreditVaRversusMarketVaRExtremeSkeWneSSisamaterialconcernincreditrisk.Extremeskewnessarisesgiven,intherareeventthatdefaultdoesoccur;returnsareverylargeandnegative.SkewnessresultsinahigherCOnfiderICeintervalformeasuringCreditVaRUSLlallyat99thand99.9thpercentiles.Theti
19、mehorizonsformarketriskarealmostalwaysbetweenonedayandOnemonth.Butthetypicaltimehorizonformeasuringcreditriskismuchlonger;often,thecreditriskhorizonisOneyearTypeMarketRiskCreditRiskDistributionsSymmetricFattailsSkeWedtotheIeftTimeHorizonShortTerm(Days)LOngTClTn(YearS)KeyIndicatorsLossDistributionExp
20、ectedX-Percentile ofLossDistributionWqeqRdExample40%.A, B,CaseStudy1:Oneloanwithprincipalof!million,PD=8%,RR=Howmuchshouldbankprovisionfor?CaseStudy2:Consideraportfolioof$100millionwith3bondsandC,withvariousprobabilitiesofdefault./Theexposuresareconstant/Therecoveryincaseofdefaultiszero./Defaulteven
21、tsareindependentacrossissuers./Thefollowingsdisplaytheexposuresanddefaultprobabilities.IssuerExposureProbabilityA$250.05B$300.1C$450.2KeyIndicatorsExample(cont,d)DefaultLossProbabilityCumulativeExpectedVariance(Li-EIi)2P(Li)ILiP(Li)Prob.Lip(Li)None$00.6840.684$0.00120.08A$250.0360.720$0.904.97B$300.
22、0760.796$2.282L32C$4501710.967$7.70172.38AfB$550.0040.971$0.226.97A,C$700.0090.980$0.6328.99B,C$750.0190.999$1.4372.45ABC$1000.0011.000$0.107.53$13.25434.69Example(cont,d)Theexpectedcreditlossoftheportfoliois:E(CL)=WPiXCEi=0.05x25+0.1030+0.2045=13.25UL=WCL-EL=45m一13.25m=31.75mDistributionofCreditLos
23、ses876543210 0.0.0.Ci0.Ci0.0.Aouanb-u.LossCreditVaRTheDeviationsfromtheMeans三三三Ioz，EN.ZFOI-3nbIJ01-npJPIoqIPIA=qpqojd一I三o-o-ol-o-I-CIBJBPIU-OCPpu0allpFIBJPJoS-I三qeqod七M.(lqpu-J0s-sUo-sodMJ-K-IlUnOUJo)SLU,-JOMI4IOM3E2U.-dul.s、ootodpaPU-S-=nBJP-d三nLUCTopoo上二七SpU04OU-Q、Uo=EIU=SUJUOAqaJJOUIEXeZU-POOO=Ot
24、-OdAs。LPUIAlPortfolioCreditVaR(cont,d)DefaultCorrelationEstimation(cont,d)Outcome%X?X2ProbabilityNodefault0001TI112+TI12Firm1onlydefaults100Firm2onlydefaults010n?-12Bothfirmsdefault11112E(Xi)=i;E(X1X2)=K12V(Xi)=E(X3-Eg)?=Ml-i)i=l,2COV(Xl,X2)=E(XIX2)-E(XI)E(X2)=%2-121212p=_一一(l-)2(l-2)1SiP&-5PqABEuo-
25、pI-PaDIUB.yJ6一S.-q-IBUJoPUBPgnqES-P-UJOfqB-O=OtJOd-lWSi三BJPJoJBqEnUEuwoOI-BnbS-U0402n3JPjl、Pg-5eS-Uo-u-spI-PbOz-pao0lsnOPsuo2七七SBSBqO=Ojt-0dLuLTOI-Bnb-uo。一-Ojt-0d-U04OUnp匕、.Sso-PaPBdX一UBIwpSso-SBUiSOM0SSo-O-TOIUaIIX。IStdJBOTO-tou-Q、xeI-PaO.2oMaBr1。UoQEEnSw(PAu。，Xe三oO=OtJOdAs。HPUlAl1*SI0N，9Z000086=。O
26、CNo。HP一一POOOO000TH(66)dMOoOOZH东ZX0。OsoodH-2.2-0J七Od-l-OJ-UuP-JUo2%66-s0O-BnbUO4-UoU-BSBCO-OJlJOdsllOS-lo-qoE一UJo上Uo-IB6=qoUB-uo三sod,paoIPeuj.0+0adBPUB岗JoOdSBqSl-PaDBLLJ.SUOWSOdI-PaDOZPUBoooooISJo-BUO-IOUO=OJlJodUg-D(I-PaIUcoA三o-i-SeIuB=.MO=OJl-OdIUd、(LUOU)ae总Pa-DO=OAVIOd1。UoAeEnsuj(PAUoU)Xe-piO=OtJO
27、dAs。LPUlAlPortfolioCreditVaR(cont,d)EstimationofPortfolioCreditVaRp=0(numberofdefauItsisbinomiallydistributed)GivenaPortfoliowithavalueof$1,000,000and50credits.Eachcreditisequallyweightedandhasaterminalvalueof$20,000eachfnodefaultoccurs.EachcreditshasaPDofandaRRofzero.WhatisthecreditVaRat95%confiden
28、ceIevelifis2%andthedefaultcorrelatknisO?(the95thpercentieofthenumberofdefaultsbasedonthisdistributionis3)?领取考前押题微信：xuebaju11888sEL=1,000,000x2%=配1?阳5%)=3x20,000=60,000CreditVaR=6O,OOO-2O,OOO=40,000EffectofGranularityonCreditVaRWhentheportfoliobecomesmoregranular,thatis,ContainSmoreindependentcredits
29、,CaChOfWhiChisaSmallerfractionOftheportfolio.TheCreditVaRis,naturally,higherforahigherProbabilityOfdefault,giventheportfoliosize.ButitdecreasesastheCreditPortfoliobecomesmoregranularforagivendefaultprobability.Butthathasanimportantconverse:ItishardertoreduceVaRbymakingtheportfoliomoregranularifthede
30、faultprobabilityislow.Eventually,foracreditportfoliocontainingaveryIargenumberOfindependentSmallpositions,theprobabilityconvergesto100percentthatthecreditlosswillequaltheexpectedloss.ThePortfoIiothenhaszeroVolatilityOfCreditloss,andtheCreditVaRiszero.QpitalStructureStepstoDeriveEconomicCapitalforCre
31、ditRiskExpectedLosses(EL)UnexpectedLosses(UL-StandaIone)UnexpectedLossContribution(ULC)EconomicCapitalELandUL(instatisticalterms)EL=PDEALRUL=EANPDX11lr+LR2X加DWhereglr=standarddeviationofthelossrateLRpD=standarddeviationofthedefaultprobabilityPDal-=PDX(I-PD)GpitalStructureExampleSupposeXYZbankhasbook
32、edaloanwiththefollowingcharacteristics:totalcommitmentof$2,000,000,ofwhich$1,200,000iscurrentlyoutstanding.Thebankhasassessedaninternalcreditratingequivalenttoa1%defaultprobabilityoverthenextyearDrawdownupondefaultisassumedtobe75%.Thebankhasadditionallyestimateda40%lossgivendefault.Thestandarddeviat
33、ionofEDFandLGDis5%and30%,respectively.CalculatetheunexpectedlossforXYZbank.EA=1,200,000+800,00075%=1,800,000UL=1,800,0001%30%2+40%25%2=64,900QpitalStructureUnexpectedLossContributionULMCi6ULpOULi_LXW)2ULp OULi1=2ULp X(b= p= PijULiULj) y=1 ULjPijULiULpA Total Contribution to the Portfolio,s ULnULp =
34、W ULMCi ULii=lULCi = ULMCi ULi =iL ULj pjjULpULiCapitalStructureEconomicCapitalAsdefinedpreviouslytheamountofeconomiccapitalneededisthedistancebetweentheexectedoutmeandtheunexectedoutmeatacertainconfidencelevel.Unexpectedlossistranslatedintoeconomiccapitalforcreditriskinthreesteps：领取考前押题微信：xuebajun8
35、88sFirst,thestandaloneunexpectedlossiscalcuIated.Then,thecontributionofthestandaloneULtotheULofthebankportfolioisdetermined.Finally,thisunexpectedlosscontribution(ULC)istranslatedintoeconomiccapital.QpitalStructureEconomicCapitalEconomicCapitalp=ULpCMEconomicCapitalj=ULCiCMCM=capitalmultiplierGpital
36、StructureChallengestoQuantifyingCreditRiskThisapproachassumesthatcreditsareilliquidassets.SinCethecreditriskCIfbankIoanSbecomesmoreandmoreIiqUidandistradedinthecapitalmarkets,avalueapproachwouldbemoresuitable.ThiswouldrequireITIodelingthemulti-periodnatureOfCreditSand,hence,theexpectedandunexpectedc
37、hangesinthecreditqualityoftheborrowers(andtheircorrelations).Themoreprecisenumericalsolutionsgetverycomplexandcumbersome.Therefore,almostallinternalcreditriskmodelsusedinpracticeuseonlyaone-yearestimationhorizon.AlthOUghthisapproachCOCSiderCCorrelatioCSataPraCtiCabIeIeVelwithinthesamerisktype,itassu
38、mes,Whenmansuring,thatallOtherriskComPonentS(SUChasmarketandoperationIriSk)areSeParntedandaremeasuredandmanagedindifferentdepartmentsWithinthebank.三s.辰而iwIoNlLnrn8二MSUAUo三Et90*nUJ.Uo=E9寸OHnWUUo=E860oljj8Uo=EZroanW.UeqI0JB8A0U-11BPjoSSo-ptidx三S二EM%09PUBX0J%0寸-n*pUE6SSO一一UTo-I-n45PlUOJOCIdf.3S-0JPUeNo,X0JOdc二BAXU七0.O-Uo=LUSQrnujPUBXOIUo=IjUIrnujSPU-Z1UB8SoddnSAISP,1XUJ国S.iwIoZ，9ESpo-l09po01UPu-6U-SsUo4nql-QlUuodxLU寸sy-ldI至BlAlUJo上IUUJamSB工.1.U一SAS6-lp7IUClU-O-PSnuoExperts-BasedfStatistical-basedandNumericalApproachesExperts-BaseclStati
