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1、外文翻译原文ListedcompaniesinrealestatecreditriskmeasurementbasedonKMVmodelMaterialSource:JournalofBanking&FinanceAuthor:MichelCrouhyBIS1998isnowinplace,withinternalmodelsformarketrisk,bothgeneralandspecificrisk,implementedatthemajorG-10banks,andusedeverydaytoreportregulatoryca
2、pitalforthetradingbook.ThenextstepforthesebanksistodevelopaVaRframeworkforcreditrisk.ThecurrentBISrequirementsfor“specificrisk”arequiteloose,andsubjecttobroadinterpretation.Toqualifyasaninternalmodelforspecificrisk,theregulatorshouldbeconvincedthat“concentrationrisk”,“spr
3、eadrisk”,“downgraderisk”and“defaultrisk”areappropriatelycaptured,theexactmeaningof“appropriately”beinglefttotheappreciationofboththebankandtheregulator.Thecapitalchargeforspecificriskisthentheproductofamultiplier,whoseminimumvolumehasbeencurrentlysetto4,timesthesumoftheVa
4、Ratthe99%confidencelevelforspreadrisk,downgraderiskanddefaultriskovera10-dayhorizon.Thereareseveralissueswiththispiecemealapproachtocreditrisk.First,spreadriskisrelatedtobothmarketriskandcreditrisk.Spreadsfluctuateeither,becauseequilibriumconditionsincapitalmarketschange,
5、whichinturnaffectcreditspreadsforallcreditratings,orbecausethecreditqualityoftheobligorhasimprovedordeteriorated,orbecausebothconditionshaveoccurredsimultaneously.Downgraderiskispurecreditspreadrisk.WhenthecreditqualityofanobligordeterioratesthenthespreadrelativetotheTrea
6、surycurvewidens,andviceversawhenthecreditqualityimproves.Simplyaddingspreadrisktodowngraderiskmayleadtodoublecounting.Inaddition,thecurrentregimeassimilatesthemarketriskcomponentofspreadrisktocreditrisk,forwhichtheregulatorycapitalmultiplieris4insteadof3.Second,thisissueo
7、fdisentanglingmarketriskandcreditriskdrivencomponentsinspreadchangesisfurtherobscuredbythefactthatoftenmarketparticipantsanticipateforthcomingcrediteventsbeforetheyactuallyhappen.Therefore,spreadsalreadyreflectthenewcreditstatuswhentheratingagencieseffectivelydowngradeano
8、bligor,orputhimon“creditwatch”.Third,defaultisjustaspecialcaseofdowngrade,whenthecreditqualityha
