信用风险模型.pptx

Issues in Credit Risk ModellingRisk Management SymposiumSeptember 2, 2000Bank of ThailandChotibhak JotikasthiraOverviewBIS regulatory model Vs Credit risk modelsCurrent Issues in Credit Risk ModellingBrief introduction to credit risk modelsPurpose of a credit risk modelCommon componentsModel from insurance (Credit Risk+)Credit MetricsKMVModel comparisonBank of ThailandRisk Management Symposium - September 2000BIS Regulatory Model Vs Credit Risk ModelsBIS Risk-Based Capital Requirements All private-sector loans (uncollateralized) are subjected to an 8 percent capital reserve requirement, irrespective of the size of the loan, its maturity, and the credit quality of the borrowing counterparty. Note: Some adjustments are made to collateralized/guaranteed loans to OECD governments, banks, and securities dealers.Bank of ThailandRisk Management Symposium - September 2000BIS Regulatory Model Vs Credit Risk ModelsCredit Risk Models - Credit Risk+ - Credit Metrics - KMV - Other similar modelsBank of ThailandRisk Management Symposium - September 2000BIS Regulatory Model Vs Credit Risk ModelsDisadvantages of BIS Regulatory Model1. Does not capture credit-quality differences among private-sector borrowers2. Ignores the potential for credit risk reduction via loan diversificationThese potentially result in too large a capital requirement!!!!! Bank of ThailandRisk Management Symposium - September 2000BIS Regulatory Model Vs Credit Risk ModelsBig difference in probability of default exists across different credit qualities. Note: 1. Probability of default is based on 1-year horizon. 2. Historical statistics from Standard Poor’s CreditWeek April 15, 1996.Bank of ThailandRisk Management Symposium - September 20008%BIS Regulatory Model Vs Credit Risk Models Default correlations can have significant impact on portfolio potential loss. KMV finds that correlations typically lie in the range 0.002 to 0.15. Correlation = 18%8%BIS model requires 8% of total.Correlation = 0.15Actua