信用风险模型.ppt

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1、IssuesinCreditRiskModellingRiskManagementSymposiumSeptember2,2000BankofThailandChotibhakJotikasthiraBankofThailand1RiskManagementSymposium-September2000OverviewBISregulatorymodelVsCreditriskmodelsCurrentIssuesinCreditRiskModellingBriefintroductiontocreditriskmodelsPu

2、rposeofacreditriskmodelCommoncomponentsModelfrominsurance(CreditRisk+)CreditMetricsKMVModelcomparisonBankofThailand2RiskManagementSymposium-September2000BISRegulatoryModelVsCreditRiskModelsBISRisk-BasedCapitalRequirementsAllprivate-sectorloans(uncollateralized)aresub

3、jectedtoan8percentcapitalreserverequirement,irrespectiveofthesizeoftheloan,itsmaturity,andthecreditqualityoftheborrowingcounterparty.Note:Someadjustmentsaremadetocollateralized/guaranteedloanstoOECDgovernments,banks,andsecuritiesdealers.BankofThailand3RiskManagementS

4、ymposium-September2000CreditRiskModels-CreditRisk+-CreditMetrics-KMV-OthersimilarmodelsBISRegulatoryModelVsCreditRiskModelsBankofThailand4RiskManagementSymposium-September2000DisadvantagesofBISRegulatoryModel1.Doesnotcapturecredit-qualitydifferencesamongprivate-secto

5、rborrowers2.IgnoresthepotentialforcreditriskreductionvialoandiversificationThesepotentiallyresultintoolargeacapitalrequirement!!!!!BISRegulatoryModelVsCreditRiskModelsBankofThailand5RiskManagementSymposium-September2000BISRegulatoryModelVsCreditRiskModelsBigdifferenc

6、einprobabilityofdefaultexistsacrossdifferentcreditqualities.Note:1.Probabilityofdefaultisbasedon1-yearhorizon.2.HistoricalstatisticsfromStandard&Poor’sCreditWeekApril15,1996.BankofThailand6RiskManagementSymposium-September2000BISRegulatoryModelVsCreditRiskModelsDefau

7、ltcorrelationscanhavesignificantimpactonportfoliopotentialloss.KMVfindsthatcorrelationstypicallylieintherange0.002to0.15.8%8%BISmodelrequires8%oftotal.8%8%Correlation=1Correlation=0.15Actualexposureisonly6%oftotal.BankofThailand7RiskManagementSymposium-September2000B

8、ISRegulatoryModelVsCreditRiskModelsThecapitalrequirementtocoverunexpectedlossdecreasesrapidlyasthenumberofcounterpartiesbecomeslarg