دانلود کتاب The Standard & Poor's guide to measuring and managing credit risk

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Title Page......Page 1
Copyright Page......Page 2
Contents......Page 3
Foreword......Page 7
Introduction......Page 9
Structure of the Book......Page 10
Acknowledgments......Page 11
Chapter 1: Credit, Financial Markets, and Microeconomics......Page 13
The Role of Debt in the Theory of the Firm......Page 16
Adverse Selection......Page 19
Moral Hazard......Page 20
The Capital Structure Seen as an Optimal Dynamic Management Tool......Page 23
Banking Intermediation Theory......Page 24
Providing Liquidity Insurance to Firms......Page 25
The Trend toward the Marketing of Credit Risk......Page 27
Sell or Hold Credit Risk?......Page 28
The Bank as an Optimal Monitor......Page 29
Banks’ Competitive Advantage......Page 30
Conclusion......Page 31
The Bank is “Price Maker”......Page 32
The Bank is “Price Taker”......Page 33
Chapter 2: External and Internal Ratings......Page 35
Credit Ratings......Page 36
Comments and Criticisms about External Ratings......Page 40
Time Horizon for External Ratings......Page 42
Quality of Transition Matrices over Time and Regions......Page 44
Effect of Rating Changes on Bond Prices......Page 47
The Impact of Rating Changes on Stock Prices......Page 50
Approaching Credit Risk Through Internal Ratings or Score-Based Ratings......Page 51
The Incompatibility of the Two Approaches......Page 53
Attempts to Extract Through-the-Cycle Information from At-the-Point-in-Time Scores......Page 54
Using Rating Templates to Mirror the Behavior of External Agencies Ratings......Page 55
Calibrating and Back-Testing a Rating System Requires a Long Time Horizon......Page 57
Impact of Internal Models at the Macro Level......Page 58
Conclusion......Page 60
Appendix 2A: Transition Matrices......Page 61
Continuous Time......Page 64
From Historical to Risk Neutral......Page 67
Appendix 2B: From a Scoring Model to a Rating System......Page 69
Appendix 2C: Important Biases......Page 74
Chapter 3: Default Risk: Quantitative Methodologies......Page 75
Assessing Default Risk Through Structural Models......Page 76
Example......Page 81
A Brief Retrospective on Credit Scoring......Page 85
The Common Range of Credit Scoring Models......Page 87
Definition of Decision Rules......Page 101
Performance Measures: Targeting Classification Accuracy......Page 106
Performance Measures: Targeting Prediction Reliability......Page 111
Measuring Prediction: Considering the Utility Function of the Model User......Page 114
Measuring Prediction: Pitfalls about Model Calibration and Reliability......Page 116
Some Observations about Performance Measures......Page 117
Conclusion......Page 120
Appendix 3A: The Effect of Incomplete Information......Page 121
Appendix 3B: A Recipe for an Optimal Selection of Credit Factors in a Linear Logit Scoring Model with Overfitting Regularization......Page 122
Practical Discriminability......Page 123
Stability......Page 125
Appendix 3D: Incorporating Costs of Misclassification......Page 126
A Practical Example about the Importance of Misclassification Costs......Page 127
Chapter 4: Loss Given Default......Page 129
Some Definitions......Page 130
What Measure of Recovery should one use?......Page 135
History and Determinants of Recovery Rates......Page 136
Recovery on Nontraded Debt......Page 148
The Importance of Stochastic Recovery Rates......Page 150
Fitting Recovery Functions......Page 151
Extracting Recoveries from Security Prices......Page 163
Conclusion......Page 165
Appendix 4A: An Introduction to Kernel Density Estimation......Page 167
Appendix 4B: Bonds and Loans Insolvency Regimes......Page 168
The Particular Case of Germany......Page 173
Appendix 4C: The Role of Collateral in the Recovery Process......Page 174
Appendix 4D: Recoveries and Basel II......Page 176
Chapter 5: Default Dependencies......Page 179
Sources of Dependencies......Page 180
Correlations and other Dependency Measures......Page 182
Multiple Assets......Page 184
Properties of the Copula......Page 190
Important Classes of Copulas......Page 192
Calculating a Joint Cumulative Probability Using a Copula......Page 194
Copulas and Other Dependency Measures......Page 195
Default Dependencies—Empirical Findings......Page 196
Estimating the Joint Probability......Page 197
Empirical Correlations......Page 198
Correlation over Longer Horizons......Page 200
Are Equity Correlations Good Proxies for Asset Correlations?......Page 204
Testing Conditionally Independent Intensity Models......Page 207
Applying Copulas to Joint Intensity Modeling......Page 217
Conclusion......Page 220
Appendix 5A: Conditionally Independent Models of Credit Risk......Page 221
Appendix 5B: Calculating Default Correlation in a Structural Credit Risk Model......Page 223
Credit risk Portfolio Models: What for?......Page 225
Classes of Models......Page 227
Review of Commercial Models......Page 228
Step 1: Gathering the Inputs......Page 229
Step 2: Generating Correlated Migration Events......Page 234
Step 3: Measuring “Marked-to-Model” Losses......Page 236
Step 4: Calculating the Portfolio Loss Distribution......Page 237
Simulating the Factors and Calculating Portfolio Losses......Page 243
The Main Steps......Page 245
Alternative Approaches......Page 246
Calculating Risk-Adjusted Performance Measures (Rapm)......Page 248
Unexpected Loss......Page 249
Value at Risk......Page 250
Economic Capital......Page 252
Expected Shortfall......Page 253
Incremental and Marginal VaR......Page 254
RAPMs......Page 257
Introducing Risk Aversion......Page 258
Summary......Page 259
Stress-Testing Portfolio Loss Calculations......Page 260
Conclusion......Page 263
Generating Correlated Normal Asset Realizations......Page 264
Appendix 6B: Calculating Asset Correlation and Default Correlation......Page 266
Full Derivation of the Model......Page 267
Appendix 6D: A Description of the Saddle Point Method......Page 273
Moment and Cumulant Generating Functions......Page 274
Saddle Points......Page 276
Gamma-Distributed Losses......Page 277
Appendix 6E: The Use of Fast Fourier Transforms......Page 279
Reducing the Dimensionality of the Problem......Page 280
Calculating the Unconditional Distribution of Portfolio Losses......Page 281
Chapter 7: Credit Risk Management and Strategic Capital Allocation......Page 283
Do Rating Agencies have a point of view on Strategic Capital Allocation?......Page 284
What is Bank Capital meant for?......Page 285
Cash Capital and Liquidity......Page 291
Risk Capital......Page 292
Capital, Balance Sheet, and P&L......Page 293
The Various Static Methodologies to Allocate Equity Capital Among Business Units......Page 295
Notation Definitions......Page 296
Method 1: Stand-Alone Market-Based Allocation Rule......Page 298
Method 3: Internal Betas Rule......Page 300
Method 5: A Rule Based on Arbitrage Pricing Theory......Page 302
Method 6: A Fair Value Allocation Rule......Page 304
Which Method Should Be Selected?......Page 306
Integrating the Cost of Illiquidity by Setting a Nonallocated Capital Buffer Dedicated to Reducing Risk Aversion......Page 307
Integrating the Existence of Asymmetric Information within the Bank as a Capital Cost......Page 308
Allowing for Internal Bargaining for Capital Allocation as a Way to Set Priorities and Favor Information Revelation......Page 309
Performance Measurement, The Cost of Capital, and Dynamic Equity Capital Allocation......Page 310
Conclusion......Page 317
Appendix 7A......Page 319
Chapter 8: Yield Spreads......Page 321
Corporate Spreads......Page 322
Explaining the Baa–Aaa Spread......Page 326
What Model for Spreads?......Page 327
Recovery......Page 329
Probability of Default......Page 330
Probability of Default Extracted from Structural Models......Page 331
Is a Systemic Factor at Play?......Page 333
Liquidity......Page 335
Taxes......Page 337
Early Attempts to Implement Structural Models......Page 338
Recent Results......Page 339
Conclusion......Page 340
Appendix 8B: Fundamental Theorems of Asset Pricing and Risk-Neutral Measure......Page 341
Poisson and Cox Processes......Page 343
Default-Only Reduced-form Models......Page 345
Rating-Based Models......Page 347
Some Extensions to the Jarrow, Lando, and Turnbull Model......Page 350
Building Blocks......Page 351
Risky Bond Prices and Spreads......Page 352
Incorporating Risk Aversion......Page 354
Appendix 8E: Calculating Spreads from Historical Probabilities of Default......Page 355
Chapter 9: Structured Products and Credit Derivatives......Page 359
Credit Derivatives......Page 360
Asset Swaps......Page 362
Credit Default Swaps......Page 363
Total Return Swaps......Page 365
Credit Spread Options......Page 366
Benefits......Page 368
Legal Issues......Page 369
Increased Complexity of Bank Exposures......Page 370
Impact of Credit Derivatives on Market Volatility......Page 371
Collateralized Debt Obligations......Page 372
The Nature and the Source of Repayment of the Collateral Pool......Page 374
The Stability of the Collateral Pool......Page 377
Issuers’ Motivations......Page 378
Investors’ Motivations......Page 380
S&P’s CDO Evaluator......Page 382
Moody’s Binomial Expansion Technique......Page 385
Conclusion......Page 388
Appendix 9A: Calculating the Diversity Score......Page 389
Appendix 9B: Pykhtin and Dev CDO Model......Page 390
The Cdo Tranche......Page 391
Assessing The Risk of the Tranche in a Portfolio......Page 392
Chapter 10: Regulation......Page 395
A Brief History of Banking Regulation......Page 396
The Principles of Banking Regulation......Page 398
A Retrospective Look at the 1988 Basel Accord......Page 404
Core Elements of the Second Basel Accord......Page 405
The Standardized Approach......Page 408
The Internal Ratings-Based Approach......Page 412
Securitization......Page 417
The New Basel Regulation—–Its Strengths and Shortcomings......Page 419
Conclusion......Page 425
Epilogue......Page 427
Notes......Page 429
References......Page 449
Index......Page 465