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1、CHAPTERTHIRTY-THREECREDITRISKMODELINGTIMBACKSHALLDirectorofCreditMarketStrategyBarraInc.KAYGIESECKE,PH.D.AssistantProfessor,SchoolofOperationsResearchCornellUniversityLISAGOLDBERG,PH.D.VicePresidentCreditResearchBarraInc.Duringthelastyearswehaveseenmanytheoreticaldevelopmentsinthefieldofcreditrisk
2、research.Inviewofthelarge-scalechangesinmarketconditions,theentryofmoresophisticatedmarketparticipants,andtheincreaseincomplexityofinvestableassets,mostoftheresearchhasfocusedonpricingofcorporatedebts.Butmanyofthesemodelshavefailedtodescribereal-worldphenomenasuchascreditspreadsrealistically.This
3、practitioner-orientedchapterattemptstodescribethehis-toryandfutureofmodelingcreditriskandvaluationofcredit-riskyassets.Creditriskisthedistributionoffinanciallossesowingtounexpectedchangesinthecreditqualityofthecounterpartyinafinancialagreement.Examplesrangefromagencydowngradestofailuretoservicedebt
4、toliquidation.Creditriskpervadesvirtuallyallfinancialtransactions.Thedistributionofcreditlossesiscomplex.Atitscenteristheprobabilityofdefault,bywhichwemeananytypeoffailuretohonorafinancialagreement.Toestimatetheprobabilityofdefault,weneedtospecify•Amodelofinvestoruncertainty•Amodeloftheavailableinf
5、ormationanditsevolutionovertime•Amodeldefinitionofthedefaultevent.However,defaultprobabilitiesalonearenotsufficienttopricecredit-sensitivesecurities.Weneed,inaddition,•Amodelfortherisk-freeinterestrate•Amodelofrecoveryondefault•Amodelofthepremiuminvestorsrequireascompensationforbearingsystematiccre
6、ditrisk779Copyright©2005,2001,1997,1995,1991,1987,1983byTheMcGraw-HillCompanies,Inc.Clickherefortermsofuse.780PART4CreditAnalysisandCreditRiskModelingThecreditpremiummapsactualdefaultprobabilitiestomarket-impliedprobabilitiesthatareembeddedinmarketprices.Topricesecuritiesthataresen-sitivetothecre
7、ditriskofmultipleissuersandtomeasureaggregatedportfoliocreditrisk,wealsoneedtospecify•AmodelthatlinksdefaultsofdifferententitiesTherearethreemainquantitativeapproachestoanalyzingcredit.Inthestruc-turalapproach,wemakeex
