企业员工培训课件：工行CFP培训教材.ppt

2009年中国工商银行CFA二级培训项目Fixed Income Securities 讲师: 甘润 硕士、CFA、FRM 撰稿： 日期：2009年3月 地点：■杭州 SS14 FIXED INCOME: Valuation Concepts FIXED INCOME INVESTMENTS（SS 14） Reading 52: General Principles of Credit Analysis Reading 53: The Liquidity of Conundrum Reading 54: Term Structure and Volatility of Interest Rates Reading 55: Valuing Bonds with Embedded Options Review: the logic of bond pricing General Principles of Credit Analysis 1. General Principles of Credit Analysis P9 Distinguish among default risk, credit spread risk, and downgrade risk 1) default risk：The borrower will not repay the obligation 2) Credit spread risk: the credit spread will increase/decrease? and cause the value of the issue to decrease/increase? and/or cause the bond to under perform its benchmark 3) Downgrade risk: the issue will be downgraded by the credit rating agencies which will cause the price to fall 1. General Principles of Credit Analysis P9 Standard Poor’s; Moody’s; Fitch---only assess default risk 1) Credit rating: Long term— probability of both default and loss to investor Short term—only probability of default 2) Rating watch: short term (usually 3 months); review a particular issue for upgrade or downgrade— may reduce Two rating notches (e.g. A1 to A3) 3) Rating outlook: longer term (6 months to 2 years); Change one rating notch—positive outlook or negative outlook (e.g. A1 to A2) 3. 4C原则 1) Character: management’s integrity and its commitment to repay the loan. Ability to react to unexpected events—one of the most important. Corporate governance: --Larger board --Independent directors the majority --Nominating committee --CEO ≠ Chairman of the board Findings: ----institutional ownership and stronger outside control—lower bond yields and higher credit ratings ----traditional credit analysis not useful for lower-rated bonds; corporate governance most important Others: Business qualification